Solved

At the Maturity of a Bond Option, It Is Estimated

Question 8

Multiple Choice

At the maturity of a bond option, it is estimated that the underlying bond will have a duration of 6 years and a yield of 5%. The forward yield volatility is quoted as 25%. What is the volatility of the forward bond price?


A) 3%
B) 30%
C) 20.8%
D) 7.5%

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q3: A Eurodollar futures option contract has a

Q4: A five-year cap is reset annually period.

Q5: The price of a December put futures

Q6: In a floor with semiannual reset dates,

Q7: Which of the following is assumed to

Q9: Which of the following is assumed to

Q10: Which of the following is true?<br>A) A

Q11: Which of the following is true?<br>A) A

Q12: In put-call parity for caps and floors,

Q13: Which of the following is true?<br>A) A