Asymptotic Analysis for One-Name Credit Derivatives

Table 1

Effect of stochastic volatility terms.

Stochastic volatility value	−0.07	−0.05	−0.01	0	0.01	0.05	0.07
Mispricing as percentage of defaultable; zero-coupon bond price with respect to 𝐾^𝜖1	0.051	0.037	0.007	0	−0.007	−0.037	−0.051
Mispricing as percentage of defaultable; zero-coupon bond price with respect to 𝐾^𝜖2	0.265	0.190	0.038	0	−0.038	−0.191	−0.267
Mispricing as percentage of defaultable; zero-coupon bond price with respect to 𝐾^𝜖3	1.364	0.978	0.197	0	−0.002	−0.010	−1.402