Abstract
ABSTRACT. An Equity Default Swap (EDS) is a hybrid credit-equity instrument which pays out a fixed sum upon the occurrence of an adverse equity or credit event. We describe two pricing methods and their associated accelerated simulation pricing engines. We find that when used in combination the engines result in a highly accurate and accelerated pricing system. This along with the system's inherent flexibility allows for the real-time pricing of the EDS. Therefore the system meets the needs of even the most demanding practitioners.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
