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

L. Campi and A. Sbuelz
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A. Sbuelz: Tilburg University, Center For Economic Research

No 2005-28, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Cross-Asset Trading of Credit Risk; Constant-Elasticity-of-Variance (CEV) Diffusion (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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