In a credit spread involving options, the premiums received should be greater than the premiums paid, resulting in a net credit for the trader. The net credit is the maximum profit a trader can make. Two such strategies are thebull put spread, where the trader expects the underlying security...
The credit spread in options is a strategy in which the trader gets a net premium on entering into the option position but in the latter the trader pays a net premium to enter into the option position. In case of the former, the option that is sold has a higher premium than the option...
信用衍生工具(credit derivative)是一种衍生工具,它的基础是对借款人的信用风险的衡量,主要分为四种类型:(1)total return swaps(2)credit spread options(3)credit-linked notes(4)credit default swaps。最常见的信用事件包含bankruptcy、failure to pay、restructuring、moratorium(暂停偿还债务)或更远中的是拒绝偿还债...
In the financial world, a credit spread option (also known as a "credit spread") is an options contract that includes the purchase of one option and the sale of a second similar option with a different strike price. Effectively, by exchanging two options of the same class and expiration, ...
1) credit spread 信用差价 2) Credit Spread Option 信用差价期权 1. As applications,pricing formulas for credit spread options,caps and floors are derived. 为了研究均值回复特征与随机波动率对金融衍生品定价的影响,考虑状态变量的均值回复特征与两种随机波动率过程:平方根过程与O rnste in-U h lenbeck过程...
Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices We examine the question of the determinants of corporate bond credit spreads using both weekly and monthly option-adjusted spreads for nine corporate bond ... Huang, Jing-Zhi,W Kong - 《Ssrn Electronic...
This article develops dosed-form solutions for options on credit spreads with GARCH models. We extend the mean reverting model proposed in Longstaff and Schwartz (1995) and we use the Heston and Nandi (2000) GARCH specification rather than the traditional lognormal. Our model, being more general...
The changes in implied bankruptcy chances are applied to explain the credit default swap (CDS) spread changes of six financial institutions during the financial crisis. I estimated the chances from options data, with the assumption that risk neutral density (RND) is composed of lognormal densities...
1. The spread between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating. 2. An options strategy where a high premium option is sold and a low premium option is bought on the same underlying security. ...
Setting up a credit spread in a choppy market like this is one thing. Deciding what to do about it afterwards is another matter entirely. Harold Morris, MarketSmith Senior Product Coach, joins Investor's Business Daily's "Investing with IBD" podcast to talk about credit spreads and how they...