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elf_fu elf_fu
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6 years ago
A commodity linked bond is issued with an embedded call option. The current commodity price is $110, as is the exercise price on the call option. The call option is priced at $3.41. If the promised payment on the bond is the same as the issue price of $100, what is the implied coupon if effective interest rates are 3.0% and the bond has a 1-year maturity?
A) $0.66
B) $0.77
C) $0.88
D) $0.99
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Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you phuongha2892
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