The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

This paper presents a new modeling approach for credit quanto spreads, covering credit default swap quanto spreads, bond quanto spreads and bond redenomination spreads. Credit quanto spreads are implied from a hazard rate diffusion model and a FX rate jump diffusion model, where the jumps are...