引入摩擦因素的浮动利率住房抵押贷款期权定价数值分析  

An Analysis on Housing Mortgage Options Pricing under Floating Interest Rate with Friction Factor

作　　者：付尔泰[1] 龙海明[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《现代财经（天津财经大学学报）》2012年第4期40-48,共9页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：教育部人文社会科学研究项目(YJA7900063);湖南省社科规划项目(08JD42)

摘　　要：本文在结构化模型框架下,通过构建引入摩擦因素的浮动利率住房抵押贷款定价模型,对贷款的价值做了相关研究分析。模型对贷款中的各种隐含期权和借款人的异质性做了充分考虑,并采用蒙特卡罗模拟方法对其进行了数值分析。结果表明,贷款期初价值小于其账面价值,且摩擦因素条件的不同和借款人资质的差异对贷款价值有一定影响。对此银行可以通过合同签订时从贷款中扣除一定比例的费用来缓释风险,而不是在借款人执行期权时收取违约金。With the framework of structural model,we make a related analysis and research on the value of loan by establishing a housing mortgage loan pricing model under floating interest rate with friction factors.With the model,we fully consider the implicit options and heterogeneity of borrowers,and make a numerical analysis on it by using Monte Carlo simulation.The result shows that the value of loans is less than its book value at the beginning,and the different friction factor conditions and different qualified borrowers has an effect on the value of loan.In view of this,the banks can ease the risks by deducting a percentage of cost when signing the contract,rather than charge penalty when the options is executed by the borrowers.

关 键 词：浮动利率 住房抵押贷款 期权定价 数值分析 

分 类 号：F832.45[经济管理—金融学]