Pricing equity default swaps

Claudio Albanese and Oliver Chen discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. These structures straddle not only traditional asset classes such as equity derivatives and credit default swaps, but also established and diverging modelling conventions. The uncertainty about what the right pricing framework should be, be it a local volatility model or a jump model, gives rise to substantial model risk, as the authors discuss

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