商务楼租赁合约的定价  

The pricing of the real estate commercial leasing

作　　者：李少华[1] 韩丰锐[1] 

机构地区：[1]同济大学数学系

出　　处：《上海师范大学学报（自然科学版）》2010年第4期339-343,共5页Journal of Shanghai Normal University(Natural Sciences)

基　　金：国家“九七三”重点基础研究发展计划资助项目(2007CB814903)

摘　　要：利用无套利原理,在风险中性的框架下,将期权定价理论应用于不动产商务租赁领域,用偏微分方程方法解决商务楼租赁合约定价问题.利用处理障碍期权的方法,给出一类含有停租条款的商务楼租赁续租的定价公式,并对定价公式进行定量分析和经济意义的解释.得出的结论是：在考虑违约的情况下,合约价格受回收率的影响最大.With the arbitrage-free principle and the risk-neutral frame,this paper applies the option theory pricing to the real estate commercial leasing.Using the method of Partial Differential Equations it solves the problem of pricing the real estate commercial leasing contracts.Then with the method of dealing with barrier options a pricing formula is given about the real estate commercial leasing with off-hire clause.Furthermore,it gives a quantitative analysis of the parameters in the pricing formula and the explanation of their economic meanings.The conclusion shows that when default is considered,the price of the contract is mostly influenced by the rate of recovery.

关 键 词：期权定价 租金 无套利原理 

分 类 号：O29[理学—应用数学]