Convexity in the Oil-CDS Relationship and Synthetic Option Creation

9 Pages Posted: 23 Sep 2010 Last revised: 13 Nov 2011

Date Written: September 22, 2010

Abstract

Due to the convex relationship between oil and CDS, it is possible to generate new synthetic instrument.

Keywords: Options, CDS, Oil

JEL Classification: G12

Suggested Citation

Kadish, Peter, Convexity in the Oil-CDS Relationship and Synthetic Option Creation (September 22, 2010). Available at SSRN: https://ssrn.com/abstract=1680817 or http://dx.doi.org/10.2139/ssrn.1680817

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