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Vasiek利率模型下住房抵押贷款限额保险的鞅评价

Pricing mortgage insurance under random rates of interest
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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. 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 Vasicek model.
作者 李晨 陈丽萍
出处 《贵州师范大学学报(自然科学版)》 CAS 2012年第1期39-41,共3页 Journal of Guizhou Normal University:Natural Sciences
基金 国家自然科学基金资助(11171101) 湖南省教育厅科研项目资助(11C0212)
关键词 随机利率 抵押贷款 保险 期权 鞅定价 random rates of interest mortgage insurance option martingale pricing
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