| 远期鞅测度下循环贷款定价研究 |
| |
| 引用本文： | 詹原瑞,刘久彪.远期鞅测度下循环贷款定价研究[J].中国地质大学学报(社会科学版),2008,8(1):76-79. |
| |
| 作者姓名： | 詹原瑞 刘久彪 |
| |
| 作者单位： | 天津大学,管理学院,天津,300072 |
| |
| 基金项目： | 国家自然科学基金资助项目(70573076)，高等学校博士学科点专项科研基金资助项目(20050056057) |
| |
| 摘 要： | 本文在远期鞅测度下,应用信用风险结构模型对循环贷款价格的解析计算进行研究。贷款定价的关键是求解债务人的远期中性违约概率。本文把求解债务人远期中性违约概率问题转化为对时间相依的曲线边界求解布朗运动的首达时间概率分布问题,求出违约概率的解析解,进而得到循环贷款的利差,使得计算结果较之随机模拟的结果更为稳定、精确。
|
| 关 键 词： | 循环贷款 远期鞅测度 首达时间 Vasicek过程 |
| 文章编号： | 1671-0169(2008)01-0076-04 |
| 修稿时间： | 2007年6月19日 |
Study on Pricing Revolver Loan under Forward Martingale Measures |
| |
| ZHAN Yuan-rui,LIU Jiu-biao.Study on Pricing Revolver Loan under Forward Martingale Measures[J].Journal of China University of Geosciences(Social Sciences Edition),2008,8(1):76-79. |
| |
| Authors: | ZHAN Yuan-rui LIU Jiu-biao |
| |
| Abstract: | Using forward martingale methods,this paper analytically studies the pricing revolver loan in the framework of credit structural model.The key of pricing loan is seeking for the obligor's forward risk-neutral default probability,and this paper transforms the problem into computing the first-passage density of a Brownian motion process to a curved boundary depending time,and then gets the analytical default probability and revolver loan spread.Compared with the result from stochastic simulation,this one is more steady and exact. |
| |
| Keywords: | revolver loan forward martingale measures first-passage time Vasicek process |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
