Pricing equity default swaps under the jump-to-default extended CEV model

Rafael Mendoza-Arriaga () and Vadim Linetsky ()

Finance and Stochastics, 2011, vol. 15, issue 3, 513-540

Keywords: Default; Credit default swaps; Equity default swaps; Credit spread; Corporate bonds; Equity derivatives; Credit derivatives; CEV model; Jump-to-default extended CEV model; 60J35; 60J60; 60J65; 60G70; G12; G13 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s00780-010-0139-3

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