问题
单项选择题
Which of the following statements about the effects of interest rate volatility on value of bonds with embedded options is least accurate（）
A. As yield volatility increases, the value of a put-able bond increases.
B. A put-able bond’s value is its straight bond value plus the value of the embedded put option.
C. A callable bond’s value is its straight bond value plus the value of the embedded call option.
答案
参考答案：C
解析：
A callable bond’s value is its straight bond value minus the value of the embedded call option. Since the bondholder is effectively short a call option, the value of the option is subtracted from the bond price. This is why the value of callable bonds decreases when yield volatility rises.