| 基于最低净现金流要求的信用担保期权定价 |
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| 引用本文： | 许友传,何佳.基于最低净现金流要求的信用担保期权定价[J].系统工程,2007,25(6):121-123. |
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| 作者姓名： | 许友传 何佳 |
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| 作者单位： | 1. 上海交通大学,安泰经济与管理学院,上海,200030
2. 上海交通大学,安泰经济与管理学院,上海,200030;香港中文大学,工商管理学院,香港,沙田 |
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| 摘 要： | 企业最低净现金流要求在某种程度上决定了其还款概率和还款额度,进而影响到信用担保定价决策.针对最低净现金流要求对企业还款意愿的重要影响,考察最低净现金流要求与担保定价的关系,并给出基于最低净现金流要求的信用担保期权定价方法,它还与获得现金流补充条件下的信用担保定价相兼容.
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| 关 键 词： | 担保定价 期权定价 最低净现金流要求 |
| 文章编号： | 1001-4098（2007）06-0121-03 |
| 修稿时间： | 2006-12-15 |
Option Pricing of Credit Guaranty Based on Minimal Net Cash Flow Requirement |
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| XU You-chuan,HE Jia.Option Pricing of Credit Guaranty Based on Minimal Net Cash Flow Requirement[J].Systems Engineering,2007,25(6):121-123. |
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| Authors: | XU You-chuan HE Jia |
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| Abstract: | The minimal requirement of net cash flow, in some degree, determines an enterprisers default propensity and the amounts of giving back to its lenders. Based on the fact that minimal net cash flow requirement has important effect on enterprisers propensity to give back its borrowing and pricing decision of credit guarantee, we analyze the relationship between minimal net cash flow requirement and guarantee pricing and put forward a new kind of option pricing approach of credit guarantee. As a matter of fact ,our model is compatible to the condition of obtaining further cash flow complementarity from other channels. |
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| Keywords: | Guaranty Pricing Option Pricing Minimal Net Cash Flow Requirement |
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