How Integrated are Credit and Equity Markets? Evidence from Index Options
研究了信用指数期权与股票指数期权的定价一致性，发现两者市场未完全一体化，卖出信用波动率能获得更高超额收益。
ABSTRACT 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.