The value of mortgage insurance under Merton jump diffusion

MaRDI QIDQ4927240zbMATH OpenFDO

Authors Li-Ping Chen

Publication date 19 June 2013

zbMATH Keywords

jump diffusioninsuranceoptioninnovative designmartingale pricing

Mathematics Subject Classification ID

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

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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
• scientific article; zbMATH DE number 5120926 (Why is no real title available?)

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