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.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
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.