On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
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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
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美国国家经济研究局创建时间：
2010-02-01
