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cds option and Black-76
is there a way to derive black-76 version for cds options? if so would analytic greeks (delta, gamma, vega, rho, theta) derived from such a model have the traditional meanings with respect to the underlying (i.e. cds spread)?
cds option and Black-76
There is a paper published by Hull&White where you can find the formulas. It should be available on www.defaultrisk.comAs for the greeks I think that they have the same meanings, except that in the practice the hedge is done with the CDS Spot and not with the forward and especially for short maturity options