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brookecats · 2019年10月07日

请问老师,为什么波动率降低,对于debt 和equity 没有相反影响?问一道题:NO.PZ2016082406000040

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


请问老师,对于波动率,您讲到波动率升高对于债券和股票有相反的影响(the oppposite effect)。所以应该是波动率降低才会有与选项一相同的效果。为什么波动率相机没有相反的影响呢?

1 个答案

orange品职答疑助手 · 2019年10月08日

同学你好,波动率的升高或降低,对于债券和股票的value是有相反的影响。

但波动率变化的方向,所导致的债券、股票的变动情况,应该与题目中所要求的 “债券价格下跌、股票价格上升”相一致,因此不能选波动率降低

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