---
title: Risk Pricing in Credit Options
url: https://www.ml-quant.com/papers/ssrn/4973596/
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 4973596
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4973596
featured: 2024-10-03
citations: unknown
topic: Derivatives & Volatility
---


# Risk Pricing in Credit Options

Research shows that delta-hedged credit index options have large negative Sharpe ratios, largely explained by a single credit-specific factor related to credit option order flow.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4973596
- Identifier: SSRN 4973596
- Released: 2024-09-30
- First featured: Quant Letter No. 68 (2024-10-03): https://www.ml-quant.com/issues/2024-10-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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