long call option增加duration，long put option降低duration
In this case, a bond with a put option means at some time in the future you can put it back to the issuer if the price is right (and assuming all other incentives are aligned). Read more in the yield to call discussion (just flip the incentives!). ...
callable Bond对于债券投资人来说,是买了一只债,同时卖出这只债的看涨期权。 对于发行人来说,是发行一只债,同时买入这只债的看涨期权,也就是可以提前赎回。 所以Long callable的一方,是short bond+long call。 ---就算太阳没有迎着我们而来,我们正在朝着它而去,加油! 添加评论 0 0 1 回答 0 关注 311 浏览...
Bond Option Anoptiontobuyorsell(depending on whether it is acallor aput) abondat a certainpriceon or before theexpiry date. Onebuysa call bond option if one believes thatinterest rateswill fall, causing an increase in bond prices. Likewise, one buys a put bond option if one believes tha...
3. The interest rate risk of a fixed-rate bond with an embedded call option is best measured by: A. effective duration. B. modified duration. C. Macaulay duration. 4. Assuming no change in the credit risk of a bond, the presence of an embedded put option: ...
A fixed coupon rate bond experiences more fluctuations with interest rates than a floating rate bond. Moreover, call-and-put options can alter bond pricing as they approach maturity. A put option allows the bondholder to demand repayment before maturity, whereas a call option gives the issuer ...
Put price: the price to sell back the bond; Put provisions are beneficial to the investors; Investors will ask lower yield, and pay higher price; Putable bond = non-putable bond + put option 可回售债券是债券持有人可以在债券到期日前的特定日期按照特定价格强制把债券卖给债券发行人,可售回债券给...
As with all options, the contract holder is not obligated to exercise. However, non-exercise will result in a loss of the contract’s purchase value and fees. For all options, investors who buy either a call or put option will have a maximum loss equal to the purchase value of the opti...
Call and Put Options:Some convertible bonds come withcallandput options, adding even more flexibility for both the issuer and the bondholder. A call option allows the issuer to force conversion or redeem the bond before maturity, often at a premium price. A put option allows bondholders to se...
DYNKIN GAME FOR CALLABLE-PUTTABLE CONVERTIBLE BONDS: THE VALUATION AND SENSITIVITY ANALYSIS This paper studies the pricing problem for callable-puttable convertible bonds with call-put protections and call notice period as a Dynkin game via the ba... ZZD Du - 《Communications in Mathematical Sciences...