---
title: Equity and Credit Index Options: Risk & Return Analysis
url: https://www.ml-quant.com/papers/ssrn/4618313/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4618313
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4618313
featured: 2023-11-02
citations: unknown
topic: Derivatives & Volatility
---


# Equity and Credit Index Options: Risk & Return Analysis

Risk & Return Analysis: A new credit risk model accurately prices equity and credit index options, contradicting previous claims of inconsistent pricing, and highlights the need to balance three systematic risk sources.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4618313
- Identifier: SSRN 4618313
- Released: 2021-07-14
- First featured: Quant Letter No. 24 (2023-11-02): https://www.ml-quant.com/issues/2023-11-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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