Assuming no change in the credit risk of a bond, the presence of an embedded put option:

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Assuming no change in the credit risk of a bond, the presence of an embedded put option:

A. Reduces the effective duration of the bond.

B. Increases the effective duration of the bond.

C. Does not change the effective duration of the bond.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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