Yang, Jinyu; Zhang, Weiguo; Li, Donglai - In: International Journal of Financial Research 6 (2015) 1, pp. 101-110
Considering the feasibility in China¡¯s market and adopting existing pricing models on financial guaranty products and credit derivatives, a pricing model on financial guaranty products is built under the actuarial methodology. In the model, the geometric Brownian motion with correlation is...