单选题
Consider the following two statements about put-able bonds:
Statement 1: As yields rise, the price of put-able bonds will fall more quickly than similar option-free bonds (beyond a critical point) due to the decline in value of the embedded put option.
Statement 2: As yields fall, the price of put-able bonds will rise more quickly than similar option-free bonds (beyond a critical point) due to the increase in value of the embedded put option.
Should an analyst agree or disagree with these statements?
Statement 1 Statement 2
①A. Agree Agree
②B. Disagree Disagree
③C. Agree Disagree
A. ①B. ②C. ③
【正确答案】
B
【答案解析】As yields rise, the value of the embedded put option in a put-able bond increases and (beyond a critical point) reduces the decline in the value of the bond compared to a similar option-free bond. As yields fall, the value of the embedded put option decreases, and (beyond a critical point) the put-able bond behaves much the same as a similar option-free bond since the embedded put option has little or no value.