On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations
研究了联合定价长期标普500指数期权和公司债CDO分层的结构模型，发现危机期间只有加入灾难性跳跃才能定价优先层，说明优先层提供了灾难风险的独特视角。
ABSTRACT We investigate a structural model of market and firm‐level dynamics in order to jointly price long‐dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out‐of‐sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. Thus, senior tranches are nonredundant assets that provide a unique window into the pricing of catastrophic risk.