Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption
| Year of publication: |
2005
|
|---|---|
| Authors: | Campi, L. ; Sbuelz, A. |
| Institutions: | Tilburg University, Center for Economic Research |
| Subject: | Cross-Asset Trading of Credit Risk | Constant-Elasticity-of-Variance (CEV) Diffusion |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series CentER Discussion Paper Number 2005-28 |
| Classification: | G12 - Asset Pricing ; G33 - Bankruptcy; Liquidation |
| Source: |
Persistent link: https://www.econbiz.de/10011090550