Title: Mark-to-Market Credit Index Option Pricing and Credit Volatility Index
Abstract: Credit index options cannot be priced as simple vanilla options. In this paper we derive the pricing formula using both replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index based on observable credit index options market. We imply all model parameters from market traded data.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
Indexed In: ['crossref']
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