A CDS Option Miscellany

Details A CDS Option Miscellany A CDS Option Miscellany

2011-12-30

arxiv.org/abs/1201.0111v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-name CDS option, including options with upfront protection payment, recovery options and recovery swaps, and also presents a new formula for the index option. The emphasis is on using the Black-76 formula where possible and ensuring consistency within asset classes. In the framework shown here the `armageddon event' does not require special attention.

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