Browsing Electronic Theses and Dissertations (ETDs) by Subject "Black-Scholes model"
Now showing items 1-2 of 2
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Estimation of the probability of default for sovereign credit risk using structural models
(North-West University (South Africa), 2022)Over the years, it has become imperative for creditors to know the creditworthiness of prospective borrowers. This research aims at predicting the probability of default by a sovereign state using a structural model (the ... -
Pricing barrier and lookback options using finite difference numerical methods
(North-West University (South Africa) , Potchefstroom Campus, 2017)This research work focuses on the estimation of barrier and lookback option prices using finite difference numerical methods. Here, we aim at approximating the fair prices of the zero rebate up-and-out and down-and-out ...