Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

L. Campi, A. Sbuelz

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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 languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages23
Volume2005-28
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-28

Keywords

  • Cross-Asset Trading of Credit Risk
  • Constant-Elasticity-of-Variance (CEV) Diffusion

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