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.

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

SBUELZ, Alessandro
2006-01-01

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.
JEL-Classification: G12; G33. Cross-Asset Trading of Credit Risk; Constant-Elasticity-of- Variance (CEV) Diffusion.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/304517
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