摘要翻译：
本文讨论了信用指数期权定价的标准市场方法存在的三个问题：指数价差的定义一般不成立；通常考虑的收益导致定价不总是定义；用于定义定价测度的候选数值不严格为正，导致定价测度不等价。我们给出了这三个问题的一般数学解，基于一种新的信息流建模方法，通过定义一种新的子过滤。使用这种子过滤，我们一致地考虑了投资组合中所有名字违约的可能性，这在标准市场方法中是被忽略的。我们表明，虽然在正常市场条件下，标准期权的相关错误定价可以忽略不计，但在不同的期权或压力市场条件下，它可以变得高度相关。特别是，我们在2007年的市场数据上表明，在次贷危机之后，与我们提出的无套利公式相比，市场公式的错误定价甚至对流动性交叉指数期权也变得具有金融相关性。
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英文标题：
《Arbitrage-free Pricing of Credit Index Options: The no-armageddon
  pricing measure and the role of correlation after the subprime crisis》
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作者：
Massimo Morini and Damiano Brigo
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always defined, and the candidate numeraire one would use to define a pricing measure is not strictly positive, which would lead to a non-equivalent pricing measure.   We give a general mathematical solution to the three problems, based on a novel way of modeling the flow of information through the definition of a new subfiltration. Using this subfiltration, we take into account consistently the possibility of default of all names in the portfolio, that is neglected in the standard market approach. We show that, while the related mispricing can be negligible for standard options in normal market conditions, it can become highly relevant for different options or in stressed market conditions.   In particular, we show on 2007 market data that after the subprime credit crisis the mispricing of the market formula compared to the no arbitrage formula we propose has become financially relevant even for the liquid Crossover Index Options.
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PDF链接：
https://arxiv.org/pdf/0812.4156