Credit Spread Option

2011 ◽  
Keyword(s):  
Credit Spread ◽  
Spread Option ◽  
Credit Spread Option

Credit Spread Option Valuation under GARCH

2006 ◽  
Vol 14 (1) ◽  
pp. 27-39 ◽  
Author(s):  
Nabil Tahani
Keyword(s):  
Credit Spread ◽  
Option Valuation ◽  
Spread Option ◽  
Credit Spread Option

scholarly journals On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm

2003 ◽  
Vol 06 (05) ◽  
pp. 491-505 ◽  
Author(s):  
Joao B. C. Garcia ◽  
Helmut van Ginderen ◽  
Reinaldo C. Garcia
Keyword(s):  
Yield Curve ◽  
Factor Model ◽  
Credit Spread ◽  
Tree Model ◽  
Probability Curve ◽  
Tree Algorithm ◽  
Defaultable Bond ◽  
Spread Option ◽  
Credit Spread Option ◽  
The Interest Rate

In this article we describe what a credit spread option (CSO) is and show a tree algorithm to price it. The tree algorithm we have opted for is a two factor model composed by a Hull and White (HW) one factor for the interest rate process and a Black-Karazinsky (BK) one factor for the default intensity. As opposed to the tree model of Schonbucher 1999 the intensity process cannot become negative. Having as input the risk free yield curve and market implied default probability curve the model by construction will price correctly the associated defaultable bond. We then use Market data to calibrate the model to price an at the money (ATM) CSO call and then test it to price an out of the money (OTM) Bermudan CSO call on a CDS. Furthermore the discussions in this paper show in practice the difficulties and challenges faced by financial institutions in marking to market those instruments.

Credit Spread Option

2008 ◽  
pp. 76-76
Keyword(s):  
Credit Spread ◽  
Spread Option ◽  
Credit Spread Option

Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market

2015 ◽  
Vol 28 (6) ◽  
pp. 1363-1373 ◽  
Author(s):  
Rongxi Zhou ◽  
Sinan Du ◽  
Mei Yu ◽  
Fengmei Yang
Keyword(s):  
Bond Market ◽  
Credit Spread ◽  
Garch Models ◽  
Spread Option ◽  
Credit Spread Option

Pricing credit spread option with Kalman filter and Monte Carlo simulation

2013 ◽  
Author(s):  
Du Sinan ◽  
Zhou Rongxi ◽  
Wang Xianliang ◽  
Wang Yongchao
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Kalman Filter ◽  
Credit Spread ◽  
Spread Option ◽  
Credit Spread Option

Pricing credit spread option with counterparty risk

2010 ◽  
Author(s):  
Chen Yang ◽  
Qunfang Bao ◽  
Shenghong Li ◽  
Guimei Liu
Keyword(s):  
Credit Spread ◽  
Counterparty Risk ◽  
Spread Option ◽  
Credit Spread Option

scholarly journals The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market

Energies ◽  
2020 ◽  
Vol 13 (20) ◽  
pp. 5323
Author(s):  
Bartosz Łamasz ◽  
Natalia Iwaszczuk
Keyword(s):  
New York ◽  
Crude Oil ◽  
Implied Volatility ◽  
Oil Price ◽  
Credit Spread ◽  
Oil Market ◽  
Option Strategies ◽  
Price Movements ◽  
Spread Option ◽  
The Impact

This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads). We considered two main groups of vertical spreads: with limited and unlimited profits. The strategy with limited profits was divided into net credit spread and net debit spread. The analysis takes into account West Texas Intermediate (WTI) crude oil options listed on New York Mercantile Exchange (NYMEX) from 17 November 2008 to 15 April 2020. Our findings suggest that the unlimited vertical spreads were executed with profits less frequently than the limited vertical spreads in each of the considered categories of implied volatility. Nonetheless, the advantage of unlimited strategies was observed for substantial oil price movements (above 10%) when the rates of return on these strategies were higher than for limited strategies. With small price movements (lower than 5%), the net credit spread strategies were by far the best choice and generated profits in the widest price ranges in each category of implied volatility. This study bridges the gap between option strategies trading, implied volatility and WTI crude oil market. The obtained results may be a source of information in hedging against oil price fluctuations.

Leverage Choice and Credit Spread Dynamics When Managers Risk Shift

2009 ◽  
Author(s):  
Murray D. Carlson ◽  
Ali Lazrak
Keyword(s):  
Credit Spread ◽  
Spread Dynamics
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