Say I wanted to buy an option on the CDX US HY Index (specifics here are irrelevant, but the point is that I'm looking for an option on a CDS Index).
What would be the pricing formula given inputs of spread vol, strike, time to maturity, etc?
If anyone could help, that would be great.
I have had a look through Dominic O'Kane's book (2008) but haven't found an explicit reference. I'm looking to try and build this out in excel, so if anyone is able to show/refer to something done there that would be even more useful.