Collin-Dufresne is with Columbia University, EPFL-SFI, and NBER; Goldstein is with the University of Minnesota and NBER; and Yang is with the University of Hong Kong. The paper was previously circulated under the title “On the Relative Pricing of Long-Maturity S & P 500 Index Options and CDX Tranches.” Collin-Dufresne acknowledges the support of the NCCR-FINRISK, a research center of the Swiss National Science Foundation. We thank Luca Benzoni, Josh Coval, Mike Johannes, Jakub Jurek, Erik Stafford, and seminar participants at Carnegie Mellon University, UT Dallas, HEC Lausanne, Federal Reserve Bank Washington, DC, Madison-Wisconsin, Princeton, UCLA, EPFL, University of Vienna, Vanderbilt, ETH Zurich, Warwick, AQR, Bachelier World Symposium, BlackRock Quantitative Finance, Fields Institute, Kepos Capital, Moody's-NYU Credit conference, SwissQuote Conference, S&P Credit Risk Summit, and especially Adrien Vesval for many helpful comments and Credit Suisse for generously providing the options data. All remaining errors are our own.
On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations
Version of Record online: 19 NOV 2012
© 2012 the American Finance Association
The Journal of Finance
Volume 67, Issue 6, pages 1983–2014, December 2012
How to Cite
COLLIN-DUFRESNE, P., GOLDSTEIN, R. S. and YANG, F. (2012), On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations. The Journal of Finance, 67: 1983–2014. doi: 10.1111/j.1540-6261.2012.01779.x
- Issue online: 19 NOV 2012
- Version of Record online: 19 NOV 2012
- Initial submission: January 25, 2010; Final version received: July 20, 2012
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!