On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Material TypeArticleLanguageEnglish
TitleOn the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations Author(S)PIERRE COLLIN-DUFRESNE (Author)
Abstract  We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. ...Paginationp 1983–2014
SubjectEconomicsDescriptorsEconomics
Journal TitleThe Journal of Finance  
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