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Research Papers

Empirical analysis and calibration of the CEV process for pricing equity default swaps

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Pages 1815-1823 | Received 11 Dec 2008, Accepted 13 Nov 2009, Published online: 21 Jul 2010

References

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  • Davydov , D and Linetsky , V . 2001 . Pricing and hedging path-dependent options under the CEV process . Mgmt Sci. , 47 : 949 – 965 .
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  • JPMorgan™, Equity Default Swaps. European Equity Derivatives, 2003 (JPMorgan™: London)

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