摘要
随着金融市场的日渐完善,信用担保的使用日趋频繁。目前对担保的定价是在单阶段清偿的前提下,采用经验定价和单阶段期权定价两种方法。注意到在担保中存在很多展期的情况。据此,提出了两阶段担保模型,并给出其理论定价及计算实例。
With the maturity of financial market, the use of credit guarantee is getting more frequent. Curently, we pricing of guarantee is based on experience or directly employs single-stage option pricing method. On basis of complete analysis, this paper presents the two-stage pricing model of credit guarantee, together with its theoretical pricing and a calculation example.
出处
《系统工程理论方法应用》
2004年第2期127-130,共4页
Systems Engineering Theory·Methodology·Applications
基金
上海交通大学保险培训考试中心与荷兰保险有限责任公司资助项目
