Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption

Luciano Campi () and Alessandro Sbuelz
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Luciano Campi: FiME Lab - Laboratoire de Finance des Marchés d'Energie - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CREST - EDF R&D - EDF R&D - EDF - EDF, CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Alessandro Sbuelz: UNIVR - Università degli studi di Verona = University of Verona

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Date: 2005-09
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Published in Risk letters, 2005, 1 (3)

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