Index cdo option

fangu · November 5th, 2007, 3:23 am

Is there any model about the Index cdo option pricing?I have read the paper about SPA model, it seems SPA model can be applied in cdo tranche option, but not index cdo optionany one can help me? thx

scholar · November 6th, 2007, 2:58 am

You may want to check out papers by Schonbucher, Arnsdorf and Halperin, and Lopatin and Misirphashaev, to cite a few, on defaultrisk.com

khpyc · January 18th, 2008, 12:58 pm

I'm wondering if there is a 'market standard' model for these derivatives (CDO index / tranche European / Bemurdan Options)?

scholar · January 25th, 2008, 8:22 pm

I guess most practitioners use the Black model for short dated index options with some form of adjustment on the expected loss. For long dated options, no "market standard model".

ah · January 28th, 2008, 7:01 pm

Are these papers helpful? They are from another discussion by a JP Morgan expert. I have also just posted a question regarding the off-the-run tranche data insufficient problem. Basically the Markit Partner has stopped giving us off-the-run tranche data since last Dec., and we could not value our position using the base correlation approach... Would anyone here please help me out? Thanks!

khpyc · January 29th, 2008, 2:47 pm

Thanks ah, but I cannot open the attached paper. Could you please check the link?

ah · January 29th, 2008, 2:52 pm

here you go again.. can you pls help looking into the other question i had? thanks!

khpyc · January 31st, 2008, 2:14 pm

Has anyone looked at this paper by Massimo Morini and Damiano Brigo on arbitrage-free pricing of credit index options?http://www.defaultrisk.com/pp_crdrv155.htmAny comment on this work?