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 Vasicek model.
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