单选题 Assume that an option-free 5 percent coupon bond with annual coupon payments has two years to maturity. A callable bond that is the same in every respect as the option-free bond is priced at 91.76. With the term structure flat at 6 percent, what is the value of the embedded call option?

A、

A. -8.24.
B、

B. 4.58.
C、

C. 6.41.

【正确答案】 C

【答案解析】The option value is the difference between the option-free bond price and the corresponding callable bond price. The value of the option-free bond is computed as follows: PMT=5, N=2, FV=100, I=6, CPT PV=-98.17 (ignore sign). The option value =98.17-91.76=6.41.