题目
Mortgage-Backed securities (MBS) are a class of securities where the underlying is a pool of mortgages. Assume that the mortgages are insured, so that they do not have default risk. The mortgages have prepayment risk because the borrower has the option to repay the loan early (at any time) usually due to favorable interest rate changes. From an investor’s point of view, a mortgage-backed security is equivalent to holding a long position in a non-prepayable mortgage pool and which of the following?
选项
A.A long American call option on the underlying pool of mortgages.
B.A short American call option on the underlying pool of mortgages.
C.A short European put option on the underlying pool of mortgages.
D.A long American put option on the underlying pool of mortgages.
答案
B
解析
Prepayment risk is equivalent to an American call option because the borrower can repay at any time and the position is short because the option lies with the borrower.提前支付的风险相当于美式的看涨期权，因为借款人可以在任何时候偿还，而头寸是空头的，因为期权属于借款人。