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

L. Campi; A. Sbuelz

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

L. Campi
, A. Sbuelz

Research output: Working paper › Discussion paper › Other research output

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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 language	English
Place of Publication	Tilburg
Publisher	Finance
Number of pages	23
Volume	2005-28
Publication status	Published - 2005

Publication series

Name	CentER Discussion Paper
Volume	2005-28

Keywords

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

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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",

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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 -

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

Abstract

Publication series

Keywords

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