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房产价格服从一般It过程的保证险定价 被引量：1

Pricing Mortgage Insurance When House Price is Driven by a Genegal It Process
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摘要 假设未偿付额为常数且房产价格服从一般的It过程,得到了2类住房抵押贷款保证险的传统鞅定价公式和保险精算定价公式,并证明了2种方法的定价结果是完全一致的. Obtain the martingale pricing formulas and the insurance actuary insurance, and also prove that they go all the way when the unpaid money is a genegal Ito^ process. pricing formulas to two kinds of mortgage a constant and the house price is driven by
作者 李晨 陈丽萍
机构地区 湖南农业大学理学院 湖南财政经济学院
出处 《吉首大学学报（自然科学版）》 CAS 2007年第1期38-40,共3页 Journal of Jishou University(Natural Sciences Edition)
关键词 住房抵押贷款 保证险 期权 鞅定价 保险精算定价 mortgage insurance option martingale pricing insurance actuary pricing
分类号 O211.6 [理学—概率论与数理统计] F830.9 [经济管理—金融学]
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吉首大学学报（自然科学版）
2007年 第1期

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