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]
Autori: | |
Titolo: | Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption |
Data di pubblicazione: | 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. |
Lingua: | Inglese |
Rivista: | |
Citazione: | 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] |
Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
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