  Equity default-swaps pay the holder a fixed amount of money when the
underlying spot level touches a (far-down) barrier during the life of the
instrument. While most pricing models give reasonable results when the barrier
lies within the range of liquidly traded strikes of plain-vanilla option
prices, the situation is more involved for extremely out-of-the money barriers.
In this paper we discuss a model-insensitive approach for the determination of
first hitting times that does not rely on the full a priori knowledge of the
stochastic process for the price dynamics. Hence more robust pricing and
hedging results are expected as a result of this analysis. In contrast to
stochastic volatility-models our approach is well suited for the conservative
pricing of equity default-swaps.
