Closed-Form Pricing of Benchmark Equity Default Swaps Under the Cev Assumption
Risk Letters, Vol. 1, No. 3, 2005
CentER Discussion Paper Series No. 2005-28
22 Pages Posted: 4 Apr 2005
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
JEL Classification: G12, G33
Suggested Citation: Suggested Citation
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