问题
单项选择题
When market rates were 6 percent an analyst observed a $1000 par value callable bond selling for $ 950. At the same time the analyst also observed an identical non-callable bond selling for $ 980. What would the analyst estimate the value of the call option on the callable bond to be worth
A．
| A. $20. |
B．
| B. $50. |
C．
| C. $30. |
答案
参考答案：C
解析：The non-callable bond has the traditional PY shape. The callable bond bends backwards. The difference between the two curves is the value of the option. 980-950=30.