题目
Consider a convertible bond that is trading at a conversion premium of 20 percent. If the value of the underlying stock rises by 25 percent, the value of the bond will:
选项
A.Rise by less than 25%
B.Rise by 25%
C.Rise by more than 25%
D.Remain unchanged
答案
A
解析
The convertible bond implicitly gives bondholders a call option on the underlying stock. The delta of this option will vary between 0 (when the option is extremely out of the money) and 1 (when the option is extremely in the money). In this case, the bond is trading at a conversion premium of 20% so the delta must be somewhere between zero and one, and hence the price of the convertible bond will rise by less than the price of the underlying stock.可转换债券隐含地给予债券持有人相关股票的看涨期权。这个期权的增量将在0(当期权深度虚值)和1(当期权深度实值)之间变化。在这种情况下，该债券的转换溢价为20%，因此delta必须介于0和1之间，因此可转换债券的价格涨幅将小于标的股票的价格涨幅。