| Vasiek利率模型下住房抵押贷款限额保险的鞅评价 |
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| 引用本文： | 李晨,陈丽萍.Vasiek利率模型下住房抵押贷款限额保险的鞅评价[J].贵州师范大学学报(自然科学版),2012,30(1):39-41. |
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| 作者姓名： | 李晨 陈丽萍 |
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| 作者单位： | 1. 湖南农业大学东方科技学院,湖南长沙,410128
2. 湖南财政经济学院基础课部,湖南长沙,410205 |
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| 基金项目： | 国家自然科学基金资助，湖南省教育厅科研项目资助 |
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| 摘 要： | 假设房价服从一般扩散过程,利用鞅定价方法,分析了随机利率模型下住房抵押贷款限额保险的定价问题,得到了该保险的无套利定价公式.
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| 关 键 词： | 随机利率 抵押贷款 保险 期权 鞅定价 |
Pricing mortgage insurance under random rates of interest |
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| LI Chen,CHEN Li-ping.Pricing mortgage insurance under random rates of interest[J].Journal of Guizhou Normal University(Natural Sciences),2012,30(1):39-41. |
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| Authors: | LI Chen CHEN Li-ping |
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| Institution: | 1.Orient Science & Technology College,Hunan Agricultural University,Changsha,Hunan 410128,China; 2.Basic Department of Hunan College of Finance and Economics,Changsha,Hunan 410205,China) |
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| Abstract: | Obtain the pricing formula of the mortgage insurance by using the method of martingale pricing,when the house price is driven by a general It process,and the rate of interest is modeled by Vasicek model. |
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| Keywords: | random rates of interest mortgage insurance option martingale pricing |
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