We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting that credit and equity markets are not fully integrated. A strategy of selling CDX volatility yields significantly higher excess returns than selling SPX volatility.

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信贷和股票市场的一体化程度如何？来自指数期权的证据

我们研究信用指数 (CDX) 期权的定价与标准普尔 500 (SPX) 股票指数期权的一致程度。我们使用通过多元仿射变换分析为复合期权定价的新结果，在具有随机波动性和跳跃的结构性信用风险模型中推导出 CDX 和 SPX 期权的分析表达式。该模型捕捉了 CDX 和 SPX 期权联合动态的许多方面。然而，它无法协调期权价格的相对水平，这表明信贷和股票市场尚未完全一体化。出售 CDX 波动率的策略比出售 SPX 波动率的策略产生明显更高的超额回报。