李同学2019-03-09 21:11:04

21.单选题 已收藏 标记 纠错 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 上一题 下一题 正确答案B 您的答案A本题平均正确率：62% Callable bond and putable bond难度：一般 推荐：      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 问：V putable= V free + V option这是公式吧，所以感觉带入的不对啊，它怎么把free的带到了公式左边？