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

L. Campi, A. Sbuelz

Research output: Working paperDiscussion paperOther research output

289 Downloads (Pure)

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

Fingerprint

Viability
Benchmark
Equity
Investors
Equity derivatives
Assets
Pricing
Credit
Swaps
Credit risk

Keywords

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

Cite this

Campi, L., & Sbuelz, A. (2005). Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. (CentER Discussion Paper; Vol. 2005-28). Tilburg: Finance.
Campi, L. ; Sbuelz, A. / Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. Tilburg : Finance, 2005. (CentER Discussion Paper).
@techreport{f10edfa3d4c3489bbffe46ff4d7349a1,
title = "Close-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",
author = "L. Campi and A. Sbuelz",
note = "Pagination: 23",
year = "2005",
language = "English",
volume = "2005-28",
series = "CentER Discussion Paper",
publisher = "Finance",
type = "WorkingPaper",
institution = "Finance",

}

Campi, L & Sbuelz, A 2005 'Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption' CentER Discussion Paper, vol. 2005-28, Finance, Tilburg.

Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. / Campi, L.; Sbuelz, A.

Tilburg : Finance, 2005. (CentER Discussion Paper; Vol. 2005-28).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

AU - Campi, L.

AU - Sbuelz, A.

N1 - Pagination: 23

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

KW - Constant-Elasticity-of-Variance (CEV) Diffusion

M3 - Discussion paper

VL - 2005-28

T3 - CentER Discussion Paper

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

PB - Finance

CY - Tilburg

ER -

Campi L, Sbuelz A. Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. Tilburg: Finance. 2005. (CentER Discussion Paper).