The Innovation and Martingale Pricing of Mortgage Insurance Under O-U Process

Liping CHEN

Abstract


Give an innovative design for housing mortgage insurance in the basis of the guarantee insurance, then obtain the pricing formula of the mortgage insurance by using the method of martingale pricing, when the unpaid part is a constant and the real estate price is driven by the process of O-U index.

Keywords


Mortgage; Insurance; Option; Martingale pricing

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DOI: http://dx.doi.org/10.3968/j.sms.1923845220130701.606

DOI (PDF): http://dx.doi.org/10.3968/g5009

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