Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds
This paper studies the pricing of intensity-based defaultable bonds where the volatility of default intensity is assumed to be random and driven by two different factors varying on fast and slow time scales. Corrections to the constant intensity of default are obtained and then how these corrections...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/287425 |
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