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| Format: | Preprint |
| Published: |
2011
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/1201.0111 |
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| _version_ | 1866910044152397824 |
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| author | Martin, Richard J |
| author_facet | Martin, Richard J |
| contents | CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-name CDS option, including options with upfront protection payment, recovery options and recovery swaps, and also presents a new formula for the index option. The emphasis is on using the Black-76 formula where possible and ensuring consistency within asset classes. In the framework shown here the `armageddon event' does not require special attention. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1201_0111 |
| institution | arXiv |
| publishDate | 2011 |
| record_format | arxiv |
| spellingShingle | A CDS Option Miscellany Martin, Richard J Pricing of Securities CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-name CDS option, including options with upfront protection payment, recovery options and recovery swaps, and also presents a new formula for the index option. The emphasis is on using the Black-76 formula where possible and ensuring consistency within asset classes. In the framework shown here the `armageddon event' does not require special attention. |
| title | A CDS Option Miscellany |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/1201.0111 |