Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Jazyk:	angličtina
Rok vydání:	2005
Předmět:	Cross-Asset Trading of Credit Risk Constant-Elasticity-of-Variance (CEV) Diffusion
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dris___01181::bf8968d0aafb8f65dc7728e4d51a16e1 https://research.tilburguniversity.edu/en/publications/f10edfa3-d4c3-489b-bffe-46ff4d7349a1 Zobrazit plný text záznamu