The Empirical Research of the Relationship on Underlying Stock Volatility Before and After Convertible Bonds Issue in China

You-zhi Zeng ()
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You-zhi Zeng: Wuzi University

Chapter Chapter 26 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 245-251 from Springer

Abstract: Abstract A common problem of pricing models for the convertible bond is that the pricing efficiency is not high. One of important reasons is that the model parameter estimation is not accurate. At present, the historical volatility of the underlying stock after the convertible bond issue which is suitable for pricing models can’t be calculated directly in China. However, the volatility before the convertible bond issue can be calculated accurately. The paper has deduced the relationship between the before volatility and the after volatility, so the after volatility which is suitable for pricing models in China can be calculated directly and accurately.

Keywords: Convertible bonds issue; Pricing efficiency; The underlying stock volatility; The relationship (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38442-4_26

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DOI: 10.1007/978-3-642-38442-4_26

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