NO.PZ2018123101000070
问题如下：
Steve, a fixed income analyst at Samuel, is reviewing 3 fixed-rate bonds issued by a local firm, Pro Star, Inc.
The table below shows the relevant information about these three bonds:
The one-year, two-year, and three-year par rates are 2.250%, 2.750%, and 3.100%, respectively. Based on an estimated interest rate volatility of 10%, Steve constructs the binomial interest rate tree shown in Exhibit below:
All else being equal, if Steve assumes an interest rate volatility of 15% instead of 10%, the bond that would increase in value is:
选项：
A.Bond X.
B.Bond Y.
C.Bond Z.
解释：
C is correct.
考点：考察对含权债券的理解、考察波动率对Embedded option价值的影响
解析：无论是哪种含权债券，即无论期权的类型如何，利率波动率的增加都会导致期权价值的增加。所以要判断在此情况下，哪种债券的价值会增加，就需要判断哪个含权债券的权利 （ 期权 ） 是属于投资者的 ；
已知：
Value of Callable bond = Value of option-free bond - Value of Call option on bond;
Value of Putable bond = Value of option-free bond + Value of Put option on bond;
因此可以判断，在Option价值增加的情况下，Callable bond的价值降低，Putable bond的价值增加。因此选择C。
Value of Callable bond = Value of option-free bond - Value of Call option on bond;
有没有更intuitive的方法来理解这个公式？ 谢谢
