求讲解B选项

问题如下：

Which of the following statements not accurately describes a key difference for capital structure arbitrage when dealing with convertible bonds?

选项：

A.Increasing volatility results in gains to the convertible bond holder due to the increases in value on the embedded call option. B.convertible bonds have indirect impact of equity volatility on the relationship between credit spreads. C.The conversion feature associated with convertible bonds imposes arbitrage bounds on convertible bonds

解释：

In contrast to the indirect impact of equity volatility on the relationship between credit spreads and share prices in the structural model, convertible bond investors hold a long equity volatility position in the form of an embedded call option. Increasing volatility results in gains to the convertible bond holder due to increases in value on the embedded call option. The conversion feature associated with convertible bonds imposes arbitrage bounds on convertible bonds that do not exist in the case of straight bonds under the structural model.