On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations - PowerPoint Presentation

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Uploaded On 2018-02-26

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations - PPT Presentation

PIERRE COLLINDUFRESNE ROBERT S GOLDSTEIN FAN YANG The Journal of Finance Dec 2012 Overview Jointly price longdated SampP 500 index options and CDO tranches of corporate debt Investigate a structural model of market and firmlevel dynamics ID: 637226

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