Research Article | OPEN ACCESS
The Empirical Research of the Relationship on Underlying Stock Volatility in China Convertible Bonds Market
Youzhi Zeng and Xiaoyu Luo
Graduate School of Beijing Wuzi University, 101149, Beijing, China
Research Journal of Applied Sciences, Engineering and Technology 2013 12:3346-3349
Received: July 26, 2012 | Accepted: September 08, 2012 | Published: April 10, 2013
Abstract
The study tries to improve the pricing efficiency of pricing models for the convertible bond by calculating the volatility of the underlying stock more accurately. By deducing the relationship between the historical volatility before the convertible bond issue which can be calculated accurately and the historical volatility of the underlying stock after the convertible bond issue which is suitable for pricing models and can’t be calculated accurately in China, the after volatility can be calculated directly and accurately.
Keywords:
Convertible bonds issue, pricing efficiency, the underlying stock volatility, the relationship,
Competing interests
The authors have no competing interests.
Open Access Policy
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Copyright
The authors have no competing interests.
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ISSN (Online): 2040-7467
ISSN (Print): 2040-7459 |
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