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.
Titolo: | Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption |
Autori: | |
Data di pubblicazione: | 2006 |
Rivista: | |
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. |
Handle: | http://hdl.handle.net/11562/304517 |
Appare nelle tipologie: | 01.01 Articolo in Rivista |
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