随机波动率与跳扩散相结合的保证险的鞅定价

Martingale Pricing of Insurance under the Combination of Stochastic Volatility and Jump Diffusion

假设未偿付额为常数,且房产价格为对数正态随机波动率过程和一个复合Poisson过程相结合的随机过程,引入期权定价理论,利用特殊的鞅方法,分析了住房抵押贷款保证险的定价问题。

Given the unpaid money is a constant and house price follows a stochastic process of combining a log-normal stochastic volatility process with an compound Poisson process, we propose a special martingale pricing model to analyze the pricing problem of housing mortgage insurance by introducing option pricing theory.