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.
Lingua originale | English |
---|---|
pagine (da-a) | 1-7 |
Numero di pagine | 7 |
Rivista | RISK LETTERS |
Volume | 1 |
Stato di pubblicazione | Pubblicato - 2005 |
Keywords
- Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion