带跳模型下提前违约的贷款保险定价研究  

Research on the pricing of loan insurance with early default under the jump model

作　　者：雷子琦 周清[1] LEI Ziqi;ZHOU Qing(School of Science,Beijing University of Posts and Telecommunications,Beijing 100876)

机构地区：[1]北京邮电大学理学院,北京100876

出　　处：《首都师范大学学报（自然科学版）》2021年第5期1-7,共7页Journal of Capital Normal University：Natural Science Edition

基　　金：国家自然科学基金项目(11871010)。

摘　　要：为描述突发性事件对金融市场的影响,本文将跳扩散模型创新应用在提前违约的贷款保险定价模型中,修正了以几何布朗运动为假设的提前违约的贷款保险定价模型.根据贷款保险与看跌期权之间的同构关系,构建了基于跳扩散的提前违约下贷款保险定价模型,并选取某上市公司数据和上海银行间同业拆放利率数据,利用蒙特卡罗(Monte Carlo)模拟进行实证分析.结果表明:跳扩散下提前违约的贷款保险定价模型,能够更加合理地刻画实际金融市场的变动现象,尤其是政策突变等信息到达和集成而产生的冲击现象.此外,违约点及资产波动率都会对提前违约的贷款保险定价水平产生影响.In order to describe the impact of unexpected events on the financial market,this paper innovatively applies the jump diffusion model to the pricing model of loan insurance under early default,and modifies the pricing model of loan insurance under early default based on the assumption of geometric Brownian motion.According to the isomorphic relationship between loan insurance and put options,a pricing model of loan insurance under early default based on jump diffusion is constructed,and data from a listed company and Shanghai Interbank Offered Rate data are selected,and Monte Carlo simulation is used for empirical analysis.The results show that the pricing model of loan insurance under early default under jump diffusion can more reasonably describe the changes in the actual financial market,especially the impact of information arrival and integration such as policy mutations.In addition,the default point and asset volatility will affect the pricing level of loan insurance for early default.

关 键 词：提前违约 贷款保险定价 跳扩散 蒙特卡罗 

分 类 号：O122.63[理学—数学]