问题
单项选择题
Assume an option free 5 percent 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 percent what is the value of the embedded put option
A．
| A. -3.59. |
B．
| B. 3.59. |
C．
| C. -1.76. |
答案
参考答案：B
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=101.79-98.17=3.59.