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

Risultato della ricerca: Contributo in rivista › Articolo › 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.

Lingua originale	Inglese
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

Altri file e collegamenti

Link a IRIS PubliCatt

Cita questo

@article{1bea0d7596bc40de9507f244d1de3b2d,

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",

}

TY - JOUR

T1 - Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption

AU - Sbuelz, Alessandro

AU - Campi, Luciano

PY - 2005

Y1 - 2005

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

Altri file e collegamenti

Fingerprint

Cita questo