| 远期鞅测度下贷款定价研究 |
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| 引用本文： | 刘久彪,詹原瑞,韩镇.远期鞅测度下贷款定价研究[J].西安电子科技大学学报(社会科学版),2008,18(1):96-101. |
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| 作者姓名： | 刘久彪 詹原瑞 韩镇 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 在远期鞅测度下，应用信用风险结构模型对贷款定价进行研究。首先假设基于即期鞅测度，公司资产价值、无风险利率、违约阈值的随机过程，然后推导即期鞅与远期鞅测度变换的条件，得出远期鞅测度下的违约指示过程。对于难以求解的远期中性违约概率，将其转变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，进而得到贷款的利差。
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| 关 键 词： | 贷款定价 远期鞅测度 首达时间 Vasicek过程 |
| 文章编号： | 1008-472X(2008)01-0096-06 |
| 修稿时间： | 2007年7月29日 |
Study on Pricing Loan under Forward Martingale Measures |
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| LIU JIUBIAO,ZHAN YUANRUI,HAN ZHEN.Study on Pricing Loan under Forward Martingale Measures[J].Journal of Xidian University (Social Sciences Edition),2008,18(1):96-101. |
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| Authors: | LIU JIUBIAO ZHAN YUANRUI HAN ZHEN |
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| Institution: | (School of Management, Tianjin University, Tianjin, 300072, China) |
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| Abstract: | Under forward martingale measures, the paper studies pricing loan in the framework of credit structural model. Firstly, in risk-neutral spot economy, it gives finn value, default-free short-rate and default bound process. Then, it transforms the spot martingale measure to the forward one, and gets default indicator process under forward martingale measures. For obligor＇s forward risk-neutral default probability, it transforms the problem into computing In＇st-passage density of a Brownian motion process to a curved boundary depending time, then gets analytical default probability and loan spread. |
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| Keywords: | Loan pricing Forward martingale measure First-passage time Vasicek process |
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