All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Credit index option?

Definition 24.8 Markets II: Rates, FX and Credit · Chapter 24 — Credit Indices and Tranches

A credit index option is an option to enter an index contract at a fixed strike spread on an expiry date: a payer option gives the right to buy protection, a receiver option the right to sell it.

Read in context →