Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption
| Autor: | Campi, L., Sbuelz, A. |
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| Přispěvatelé: | Research Group: Finance, Department of Finance |
| Jazyk: | angličtina |
| Rok vydání: | 2005 |
| Předmět: | |
| 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 |
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