CDS and put options

Discussion in 'Options' started by yaeger, Dec 11, 2006.

  1. yaeger


    Hello everyone,

    I was impressed by the message board activity and decided to sign up to this site.

    I'm currently an MBA student doing investment research on the relationship between credit default swaps and out-of-money put options. There has been papers to suggest that long maturity pieces for both are heavily affected by default risk. I wanted to see if participants in each respective market will price such risk the same, especially during reaction to events such as credit outlook downgrade. I am curious to see if there are discrepancies and whether a convergence will occur.

    Any leads for advice would be most helpful. Thank you!
  2. You're wasting your time here with that question. Post it at or .
  3. i have some papers here somewhere on it... there were a couple guys on my desk who did that at BS.... let me see what I can dig up...