CFFA를 이용한 내재변동성 측정과 공모전환사채의 내재변동성 및 역사적변동성과 비교분석

초록

This study extracts the implied volatility of publicly issued convertible bonds from 2010 to 2023 by reverse calculating the issuance day market prices using the Tsiveriotis and Fernandes (1998) model. It then compares this implied volatility with the implied volatility measured from individual stock options using the Comparable Firm Finding Algorithm (CFFA), the implied volatility measured using the Copeland et al. (2000) model, and historical volatility. By using the CFFA, the study measures the implied volatility of domestic firms, which was previously difficult to ascertain, and compares it with the implied volatility derived from the market prices on the issuance day of the convertible bonds. The analysis shows that the difference between the convertible bond valuation using the volatility extracted by CFFA and the market price is about 8%, indicating its applicability as a proxy for future volatility. This research is significant as it indirectly extracts the implied volatility from domestic publicly issued convertible bonds and reverse engineers the implied volatility using the Tsiveriotis and Fernandes (1998) model, rather than the traditional Black-Scholes (1973) model. Furthermore, it suggests that the implied volatility measured by CFFA can serve as a practical proxy in determining option prices for firms whose implied volatility cannot be observed, demonstrating its practical application potential.

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