On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
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https://www.nber.org/papers/w15734
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2010-02-01
