在新西兰
1. Acommodity linked bond is issued with an embedded call option. The currentcommodity price is $110, as is the exercise price on the call option. The calloption is priced at $3.41. If the promised payment on the bond is the same asthe issue price of $100, what is the implied coupon if effective interest ratesare 3.0% and the bond has a 1 year maturity?
(a) $0.66
(b) $0.77
(c) $0.88
(d) $0.99
我有答案,但是不知道怎么算出来的
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答案是什么?
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= = 这题是必不考题。
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谁说的,这题必考