基于短期利率动态模型的反向抵押贷款赎回权定价  

Pricing the Redemption Privilege of Reverse Mortgage Based on the Dynamic Model of Short-term Interest Rates

作　　者：张元萍[1] 王力平[1] 

机构地区：[1]天津财经大学

出　　处：《投资研究》2012年第2期144-149,共6页Review of Investment Studies

基　　金：天津市2011年度哲学社会科学规划课题<天津养老金融产品创新研究>的阶段性成果;项目编号:TJYY11-2-076

摘　　要：住房反向抵押贷款作为一种新型的养老模式,为一些有房无钱的老年人解决了养老难题。本文就有赎回权的住房反向抵押贷款的赎回权的定价进行讨论,将赎回权看作是一种欧式看涨期权。同时,选择TGARCH模型拟合短期利率的动态变化,并利用短期利率动态模型改进B-S期权定价理论中关于无风险利率的限定,进而结合蒙特卡洛模拟的方法对期权进行数值计算,得到赎回权的价格。As one of the modes of living out in retirement, reverse mortgage offers a good choice for the elderly having houses but being short of cash to enjoy their late lives. This paper illustrates pricing the redemption privilege of reverse mortgage, viewing it as an European put option. Meanwhile We choose TGARCH model to fit the dynamic short-term interest rates, using it to modify the B-S option pricing model with the assumption of constant risk-free rate. We calculate the price of redemption privilege wiht Monte Carlo Simulation method.

关 键 词：住房反向抵押贷款 赎回权 利率动态模型 

分 类 号：F224[经济管理—国民经济] F830.5