| 跳扩散模型下住房抵押贷款限额保险的Martingale评价 |
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| 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 |
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| 作者姓名： | 李晨 陈丽萍 |
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| 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 |
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| 基金项目： | 国家自然科学基金(10871064)资助 |
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| 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。
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| 关 键 词： | 抵押贷款 保险 跳扩散 鞅定价 |
Martingale Pricing Mortgage Insurance in the Jump-Diffusion Process |
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| 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 |
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| Authors: | LI Chen CHEN Li-ping |
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| Affiliation: | 1.Orient Science & Technology College,Hunan Agricultural University,Changsha 410128; 2.Basic department of Hunan College of Finance and Economics,Changsha 410205,China) |
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| 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. |
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| Keywords: | mortgage insurance jump-diffusion process martingale pricing |
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