TY  - BOOK
AU  - Collin-Dufresne,Pierre
AU  - Goldstein,Robert S.
AU  - Yang,Fan
ED  - National Bureau of Economic Research.
TI  - On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
T2  - NBER working paper series
PY  - 2010///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2010; Hardcopy version available to institutional subscribers
N2  - We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index.  We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it contains pertinent information regarding the timing of expected defaults and the specification of idiosyncratic dynamics. Our model matches the time series of tranche spreads well, both before and during the financial crisis, thus offering a resolution to the puzzle reported by Coval, Jurek and Stafford (2009)
UR  - https://www.nber.org/papers/w15734
UR  - http://dx.doi.org/10.3386/w15734
ER  -