问题
单项选择题
As part of his job at an investment banking firm, Damian O’Connor, CFA, needs to calculate the value of bonds that contain a call option. Today, he must value a 10-year, 7.50 percent annual coupon bond callable in five years priced at 96.5 (prices are stated as a percentage of par). A straight bond that is similar in all other aspects as the callable bond is priced at 99.0. Which of the following is closest to the value of the call option（）
A. 2.5.
B. 3.5.
C. 1.0.
答案
参考答案：A
解析：
To calculate the option value, rearrange the formula for a callable bond to look like: Value of embedded call option = Value of straight bond - Callable bond value Value of call option = 99.0-96.5=2.5. Remember: The call option is of value to the issuer, not the holder.