Closed-Form Pricing of Benchmark Equity Default Swaps Under the Cev Assumption

Campi, Luciano; Sbuelz, Alessandro

Download This Paper

Open PDF in Browser

Add Paper to My Library

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

See all articles by Luciano Campi

Luciano Campi

London School of Economics & Political Science (LSE)

Alessandro Sbuelz

Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics; Bocconi University - CAREFIN - Centre for Applied Research in Finance

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

Campi, Luciano and Sbuelz, Alessandro, 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, Available at SSRN: https://ssrn.com/abstract=683110