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CDS Index Options
Hi all,I am trying to compile a VBA/Excel Model for CDS Index Options.Has anyone compiled such a model or have any further literature in addition to the CDS Options papers by Schonbucher and Hull?Many thanks in advance for replies,K
CDS Index Options
Hi k06, CDS Index Options is different from single name CDS options. You may want to have a look on Lehman Brothers Quant Research about CDS index options (2003). Also, you may want to look at iTraxx or CDX homepage. Joseph
CDS Index Options
The "learning curve" sector of derivatives week from last week talked about the credit index option. And there is one latest article from Journal of Derivsative is about using GARCH modelling credit option (sorry, don't have the title of the paper handy now; but guess you can find it)
CDS Index Options
You don't need a fancy model for these, a simple modified black scholes will do it, searching these forums should yield info you require, search for pedersen
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- schizoidman
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CDS Index Options
I agree with Wibble. An index option is pretty similar to a single-name CDS option with one significant difference - pre-expiry default protection. Applying the forward spread to the Black formula should do the trick.
CDS Index Options
Is there a good book can recommend on credit default swap options and portfolio products options?
CDS Index Options
get hold of the lehman's papers by dominic o'kane if you can, better than any book you'll find