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.
Sbuelz, A., Campi, L., Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption, <<RISK LETTERS>>, 2005; 1 (3): 1-7 [http://hdl.handle.net/10807/83873]
Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption
Sbuelz, AlessandroPrimo
;
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.
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