全球智库信息集成服务系统(G2TT): On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15734
来源ID	Working Paper 15734
	On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
	Pierre Collin-Dufresne; Robert S. Goldstein; Fan Yang
发表日期	2010-02-11
出版年	2010
语种	英语
摘要	We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it contains pertinent information regarding the timing of expected defaults and the specification of idiosyncratic dynamics. Our model matches the time series of tranche spreads well, both before and during the financial crisis, thus offering a resolution to the puzzle reported by Coval, Jurek and Stafford (2009).
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w15734
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/573408
推荐引用方式 GB/T 7714	Pierre Collin-Dufresne,Robert S. Goldstein,Fan Yang. On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches. 2010.