Now showing items 1-1 of 1

    • Valuation of credit default swaptions using Finite Difference Method 

      Motshabi, Karabo Mirriam (North-West University, 2012)
      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 ...