单选题 Which of the following statements about embedded options and yield volatility is FALSE?

A、 As yield volatility increases, the value of the call option increases along with the value of the callable bond.
B、 A call option benefits the issuer and a put option benefits the holder.
C、 The greater the volatility of the underlying price, the greater the value of the embedded option.

【正确答案】 A

【答案解析】As yield volatility increases, the value of the call option increases, and the value of the callable bond decreases and thus the bondholder loses. (As shown by the equation: Value of callable bond = Value of straight bond - Call option value. )