Valuation of credit default swaptions using Finite Difference Method / by Karabo Mirriam Motshabi.

Valuation of credit default swaptions using Finite Difference Method / by Karabo Mirriam Motshabi.

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Credit default swaptions (CDS options) are credit derivatives that are widely used by finan-cial institutions such as banks and hedging companies to manage their credit risk. These options are usually priced using Black-Scholes model, but the assumptions underlying this model do not always hold espec...

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Bibliographic Details
Main Author: Motshabi, Karabo Mirriam
Language:en
Published: North-West University 2013
Subjects:
Finite dirrerence methods
Black-Scholes method
Credit default swap spreads
credit default swaps and swaptions
interest rate swaps and swaptions
currency swaps and swaptions
Online Access:http://hdl.handle.net/10394/9180

Internet

http://hdl.handle.net/10394/9180

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