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, Alessandro
Primo
;
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.
Inglese
Sbuelz, A., Campi, L., Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption, <>, 2005; 1 (3): 1-7 [http://hdl.handle.net/10807/83873]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/83873
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