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Abstract and Applied Analysis
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Abstract and Applied Analysis
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2013
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Article
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Tab 2
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Research Article
Asymptotic Analysis for One-Name Credit Derivatives
Table 2
Effect of recovery rate.
Recovery rate (
)
0
0.2
0.4
0.6
0.8
1
Mispricing as percentage of
defaultable zero-coupon bond price
0.78
0.72
0.67
0.59
0.49
0.39