Pricing Of Credit Guarantee Under The Condition Of Counter-guarantee Provided By Third Party

Today company credit and solvency is too important so that credit guarantee becomes an crucial corporate finance condition. Security agencies whose main source of income is guarantee fee should obtain a reasonable benefit to survive and develop further after vouching for payment. Hence, security pricing of equitable guarantee is the foundation of survival and development industry. Recent decades, scholars and experts at home and abroad work hardly to raise numerous security pricing models and approaches, for instance, Merton's option pricing model, Fuquan Cheng and Siwei Shen's Two-stage security pricing model, and Xiaohong Chen and Wenqiang Han's Credit guarantee pricing based on VaR model.This research focus on security pricing model with the third party who provide counter-guarantee based on previous studies. The so-called counter-guarantee is to release their risk of company security for themselves. Therefore, a counter-guarantee of security pricing in quantitative characterization of credit for releasing security level are crucial in theory and practice. In Merton's opinion, guarantee contracts is essentially a put option to buy. Measure change and Martingale methods have been utilized to provide the model of security pricing with a third party who provide counter-guarantee based on Merton model in this article. And the pricing model in [11] has been corrected.