The value of mortgage insurance under Merton jump diffusion

zbMATH Open1266.91100MaRDI QIDQ4927240FDOQ4927240

Authors: Li-Ping Chen 

Publication date: 19 June 2013

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zbMATH Keywords

jump diffusioninsuranceoptioninnovative designmartingale pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (4)

• A Class of Mortgage Insurance Pricing
• Pricing mortgage insurance with house price driven by Poisson jump diffusion process
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
• Title not available (Why is that?)

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