Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds

Figure 2

The price correction term structure factor 𝐸̆ is shown by dotted, dashed and sold lines as functions of time to maturity, respectively, for (𝑢,𝑣)=(0.1,0.2), (0.3,0.5), and (0.7,0.8).