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Quantitative Finance · Begrippenlijst

Wat is Credit index option?

Definition 24.8 Markets II: Rates, FX and Credit · Hoofdstuk 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.

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