We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires properly attributing three different sources of systematic risk: asset, variance, and jump risks.

中文翻译：

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股票和信用指数期权的风险和回报


我们开发了一个结构性信用风险模型，使我们能够通过指数成分的资产动态对股票/信用指数及其期权进行定价。我们通过 MLE 估计模型，发现股票和信用指数期权价格在样本外得到了很好的解释。与最近的实证研究结果相反，通过我们的模型来看，两个期权市场的定价并不不一致。这两种期权的回报虽然极端，但并不表明有任何定价错误的证据。我们的分析表明，共同解决各种工具的定价问题需要正确归因三种不同的系统风险来源：资产风险、方差风险和跳跃风险。