随机利率下住房抵押贷款保险的创新及Martingale评价  

Pricing Mortgage Insurance under Random Rates of Interest

作　　者：陈丽萍[1] 

机构地区：[1]湖南财政经济学院基础课部,长沙410205

出　　处：《湖南理工学院学报（自然科学版）》2011年第4期19-21,共3页Journal of Hunan Institute of Science and Technology(Natural Sciences)

基　　金：国家自然科学基金项目(10871064);湖南财政经济学院科研基金项目(k200909)

摘　　要：在住房抵押贷款部分担保保证险的基础上进行了创新设计,并引入期权定价理论,利用鞅定价方法,分析了随机利率模型下该抵押贷款保险的定价问题,得到了该抵押贷款保险的无套利定价公式,其中房价服从一般扩散过程.Vasic?e kIto?In the paper, we gave an innovative design for housing mortgage insurance in the basis of the partial guarantee insurance, then obtained the pricing formula of the innovative mortgage insurance by using the method of martingale pricing, when the house price was driven by a general Ito process, and the rate of interest was modeled by Vasirek model.

关 键 词：随机利率 抵押贷款 保险 期权 鞅定价 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]