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bear41 · 2019年05月03日

问一道题:NO.PZ201602270200002010 第10小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

老师,您好!这道题是否能够这样理解。对于covertable bond 而言,股票价格影响的就是其call option,而call option影响的程度需要结合当前状态,而不能一味认为stock价格下跌,covertable bond受影响程度一定小于stock遭受的影响。

谢谢!!

1 个答案

吴昊_品职助教 · 2019年05月04日

其实这道题关键是想比较一下可转债和股票两者可以下跌的幅度孰大孰小。当股票价格跌过行权价之后,Conversion option已经成为了虚值期权,Option的价值很低了,最多Convertible bond里面的Option价值跌到0,就不可能能再往下跌了,此时还剩下一个straight bond的价值,相当于是答案中说的floor。而股票还能继续往下跌,此时股票继续往下跌不影响Option的价值了,也就不影响Convertible bond的价值。所以股票的下跌幅度要大于Convertible bond的价值下跌幅度。

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NO.PZ201602270200002010 问题如下 10. If the market priof Pro Star’s common stofalls from its level on 19 October 20X0, the priof the convertible bonwill most likely: A.fall the same rate Pro Star’s stoprice. B.fall but a slightly lower rate thPro Star’s stoprice. C.unaffecteuntil Pro Star’s stoprireaches the conversion price. B is correct.The market prion 19 October 20X0 ($37.50) is above the conversion priof $1,000/31 = $32.26 per share. Thus, the convertible bonexhibits mostly storisk-return characteristics, ana fall in the stopriwill result in a fall in the convertible bonprice. However, the change in the convertible bonpriis less ththe change in the stopribecause the convertible bonha floor—thfloor is the value of the straight bon The market prion 19 October 20X0 ($37.50) is above the conversion priof $1,000/31 = $32.26 per share.如果问股价从37.5降到35,可转债的价格下降幅度是不是和股票一样呢?

2023-05-07 18:43 1 · 回答

老师好, 可转债价值下降的幅度是小于股票的下跌幅度的 怎么理解? 谢谢。

2020-08-01 07:20 2 · 回答

10 月 19 日,股票价格是 37 块多,超过了可转换的价格 32 块多,那这个时候是不是可转债已经转换为股票了?那如果转换为股票,可转债就可以按股票来理解了,那就选 A?

2020-06-19 11:56 1 · 回答

fall but a slightly lower rate thPro Star’s stoprice. unaffecteuntil Pro Star’s stoprireaches the conversion price. B is correct. The market prion 19 October 20X0 ($37.50) is above the conversion priof $1,000/31 = $32.26 per share. Thus, the convertible bonexhibits mostly storisk-return characteristics, ana fall in the stopriwill result in a fall in the convertible bonprice. However, the change in the convertible bonpriis less ththe change in the stopribecause the convertible bonha floor—thfloor is the value of the straight bon 为什么股票下降幅度小于可转债下降幅度?因为可转债内由两部分组成1.straight bon2.call option on stock.只有第二部分和股价联动所以下降幅度小?有没有数学依据?

2020-04-03 04:08 1 · 回答