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

Abstract

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.Cross-Asset Trading of Credit Risk;Constant-Elasticity-of-Variance (CEV) Diffusion