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.
Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption / L. Campi, A. Sbuelz. - In: RISK LETTERS. - ISSN 1740-9551. - 1:3(2005).
Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption
L. Campi;
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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