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.
|Place of Publication||Tilburg|
|Number of pages||23|
|Publication status||Published - 2005|
|Name||CentER Discussion Paper|
- Cross-Asset Trading of Credit Risk
- Constant-Elasticity-of-Variance (CEV) Diffusion