李同學(xué)
2019-03-09 21:1121.單選題 已收藏 標(biāo)記 糾錯 Assume an option-free 5% coupon bond with annual coupon payments has two years remaining to maturity. A putable bond that is the same in every respect as the option-free bond is priced at 101.76. With the term structure flat at 6% what is the value of the embedded put option? A 1.76. B 3.59. C -3.59. 查看解析 上一題 下一題 ?正確答案B 您的答案A本題平均正確率：62% ?Callable bond and putable bond難度：一般 推薦： ? ? ? ? ? 答案解析 The value of the embedded put option of the putable bond is the difference between the price of the putable bond and the price of the option-free bond. The value of the option-free bond is computed as follows: PMT = 5; N = 2; FV = 100; I = 6; CPT → PV = -98.17(ignore sign). The option value = 101.76 - 98.17 = 3.59 問：V putable= V free + V option這是公式吧，所以感覺帶入的不對啊，它怎么把free的帶到了公式左邊？
所屬：CFA Level I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
孫亞軍助教
2019-03-11 15:55
該回答已被題主采納
同學(xué)你好，98.17是value of option-free bond，101.76是value of putable bond。value of option=value of putable bond - value of option free bond=101.76-98.17=3.59，仔細(xì)看題的描述。
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