| 跳扩散模型下住房抵押贷款限额保险的Martingale评价 |
| |
| 引用本文： | 李晨,陈丽萍.跳扩散模型下住房抵押贷款限额保险的Martingale评价[J].安庆师范学院学报(自然科学版),2011,17(4):38-40,66. |
| |
| 作者姓名： | 李晨 陈丽萍 |
| |
| 作者单位： | 湖南农业大学东方科技学院,湖南长沙,410128;湖南财政经济学院基础课部,湖南长沙,410205 |
| |
| 基金项目： | 国家自然科学基金(10871064)资助 |
| |
| 摘 要： | 利用特殊的鞅定价方法,得到了住房抵押贷款限额保险的定价公式,其中假设房价服从Merton跳扩散过程。
|
| 关 键 词： | 抵押贷款 保险 跳扩散 鞅定价 |
Martingale Pricing Mortgage Insurance in the Jump-Diffusion Process |
| |
| LI Chen,CHEN Li-ping.Martingale Pricing Mortgage Insurance in the Jump-Diffusion Process[J].Journal of Anqing Teachers College(Natural Science Edition),2011,17(4):38-40,66. |
| |
| Authors: | LI Chen CHEN Li-ping |
| |
| Institution: | 1.Orient Science & Technology College,Hunan Agricultural University,Changsha 410128; 2.Basic department of Hunan College of Finance and Economics,Changsha 410205,China) |
| |
| Abstract: | Under the assumption that the house price is driven by Merton jump-diffusion process,we get the pricing formula of the innovative mortgage insurance by using the method of martingale pricing. |
| |
| Keywords: | mortgage insurance jump-diffusion process martingale pricing |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
