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

Alessandro Sbuelz, Luciano Campi

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer 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.
Lingua originaleEnglish
pagine (da-a)1-7
Numero di pagine7
RivistaRISK LETTERS
Volume1
Stato di pubblicazionePubblicato - 2005

Keywords

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

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