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Sae‐Sue et al., 2020 - Google Patents

Exploring the difference between implied volatilities of options embedded in convertible bonds and exchange‐traded options and its contributing factors

Sae‐Sue et al., 2020

Document ID
11949677038032005404
Author
Sae‐Sue T
Sinthawat S
Srivisal N
Publication year
Publication venue
Journal of Corporate Accounting & Finance

External Links

Snippet

The convertible feature attached to a newly issued bond represents an embedded option whose value is determined by firm. The embedded option's implied volatility reflects the firm's view of its stock price risk which may differ from that of the market reflected in the …
Continue reading at onlinelibrary.wiley.com (other versions)

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