A multinomial tree model for pricing credit default swap options
YP Chang, MC Hung, YC Ko - Computational Statistics, 2011 - Springer
Among the traded credit derivatives, the market interest in credit default swap options
(CDSwaptions) is enormous. We propose a multinomial tree model to price Bermudan …
(CDSwaptions) is enormous. We propose a multinomial tree model to price Bermudan …
Valuation of credit default swaptions using Finite Difference Method
KM Motshabi - 2012 - repository.nwu.ac.za
Credit default swaptions (CDS options) are credit derivatives that are widely used by
financial institutions such as banks and hedging companies to manage their credit risk …
financial institutions such as banks and hedging companies to manage their credit risk …
[CITATION][C] George M. Jabbour
SD Young - Cass-Capco Institute Paper Series on Risk
[CITATION][C] Pricing Credit Default Swaption Using a Multinomial Tree
YC Ko