Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption

Alessandro Sbuelz; Luciano Campi

Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption

Alessandro Sbuelz
, Luciano Campi

Research output: Contribution to journal › Article › peer-review

Abstract

Equity Default Swaps are new equity derivatives designed as a product for credit investors. Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

Original language	English
Pages (from-to)	1-7
Number of pages	7
Journal	RISK LETTERS
Volume	1
Publication status	Published - 2005

Keywords

Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion

Cite this

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title = "Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption",

abstract = "Equity Default Swaps are new equity derivatives designed as a product for credit investors. Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.",

keywords = "Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion, Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion",

author = "Alessandro Sbuelz and Luciano Campi",

year = "2005",

language = "English",

volume = "1",

pages = "1--7",

journal = "RISK LETTERS",

issn = "1740-9551",

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AU - Sbuelz, Alessandro

AU - Campi, Luciano

PY - 2005

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N2 - Equity Default Swaps are new equity derivatives designed as a product for credit investors. Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

AB - Equity Default Swaps are new equity derivatives designed as a product for credit investors. Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

KW - Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion

UR - http://hdl.handle.net/10807/83873

M3 - Article

SN - 1740-9551

VL - 1

SP - 1

EP - 7

JO - RISK LETTERS

JF - RISK LETTERS

ER -

Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption

Abstract

Keywords

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