Price convergence between credit default swap and put option: New evidence
研究了信用违约互换与深度虚值看跌期权隐含风险率的差异，发现其随时间缩小但趋同不同步，基于曲线和残差差异的交易策略优于传统方法，对冲基金利用市场内低效但未从市场分割中获利。
Credit default swaps and deep out-of-the-money put options can be used for credit protection, but these markets are not perfectly integrated, leading to different implied hazard rates. The differences in the implied hazard rates are linked to deviations between consensus rating-based hazard rate curves in the two markets, and a residual component related to market frictions. We show that both components diminish over time, but their convergence is asynchronous. A trading strategy based on a joint signal from the curve and residual differences outperforms a conventional trading approach that relies on the absolute differences between the implied hazard rates. Hedge funds are likely to exploit within-market inefficiencies and deviations from rating-based curve, but they do not seem to profit from market segmentation.