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- W25499563 abstract "The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Levy process. This allows, for the approximation, exact computation of ...rst passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices de...nes the risk neutral process for which we infer the ...rst passage times of stock prices to 30% and 50% of the price level at contract initiation. These distributions are then used in pricing 50% recovery rate equity default swap (EDS) contracts and the resulting prices are compared with the prices of credit default swaps (CDS). An illustrative analysis is presented for these contracts on Ford and GM. Acknowledgement 1 This work was partly completed while all three authors were visiting the Isaac Newton Institute as participants in the “Developments in Quantitative Finance” program. Acknowledgement 2 In addition Martijn Pistorius acknowledges support from the Nu¢eld Foundation Grant NAL/00761/G." @default.
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- W25499563 date "2005-01-01" @default.
- W25499563 modified "2023-09-27" @default.
- W25499563 title "Pricing equity default swaps under the CGMY Lévy model" @default.
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