Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption
AbstractEquity 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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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2005-28.
Date of creation: 2005
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Cross-Asset Trading of Credit Risk; Constant-Elasticity-of-Variance (CEV) Diffusion;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-06 (All new papers)
- NEP-CFN-2005-03-06 (Corporate Finance)
- NEP-FIN-2005-03-06 (Finance)
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