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Original Articles

The value of the ‘swap’ feature in equity default swaps

Pages 67-74 | Received 12 Dec 2004, Accepted 09 Sep 2005, Published online: 18 Feb 2007

References

  • Albanese , C and Chen , O . 2005 . Pricing equity default swaps . Risk , 18 : 83 – 87 .
  • Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . J. Polit. Econ. , 91 : 637 – 654 .
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  • Moore , C . 2004 . Wolf or lamb . Struct. Finance Int. , 28–31 : 31
  • Medova , EA and Smith , RG . 2004 . Pricing equity default swaps using structural credit models , University of Cambridge . Working Paper 12/2004
  • Reiner , E and Rubinstein , M . 1991 . Unscrambling the binary code . Risk , 4 : 75 – 83 .
  • Wolcott , R . 2004 . Two of a kind? . Risk , 17 : 24 – 26 .

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