单选题
All else being equal, an increase in expected yield volatility would most likely cause the price of: A. a callable bond to increase and the price of a putable bond to decrease. B. a callable bond to decrease and the price of a putable bond to increase. C. a callable bond to increase and the price of a option-free bond to decrease.
【正确答案】
B
【答案解析】[解析] 利率波动性增加后，会同时增加债券中内含可赎回权利和可回售权利的价值。value of a callable bond=value of an option-free bond-value of the call。value of a putable bond=value of an option-free bond+value of the put。 所以，可赎回债券的价格下降，而可回售债券的价格上升。利率波动性不会影响不含权债券的价格。