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With a puttable feature, the investor is long an option, because he or she can "put" back the bond to the issuer. This will create positive gamma, or lower VaR than otherwise.
A
Puttable bonds have higher VaR than callable bonds
B
Puttable bonds have lower VaR than callable bonds
C
Puttable and callable bonds have the same VaR
D
VaR cannot be calculated for bonds with embedded options
