固定利率住房抵押贷款定价研究——基于隐含期权视角  

Research on Fixed-Rate Mortgage Pricing——Based on Embedded Option

作　　者：阮龙江[1] 薛双霞[1] 

机构地区：[1]广东商学院金融学院,广东广州510320

出　　处：《金融发展研究》2012年第6期14-18,共5页Journal Of Financial Development Research

摘　　要：由于缺乏经验,我国商业银行固定利率住房抵押贷款定价存在不合理性,既影响了固定利率住房抵押贷款业务的健康发展,又导致了借贷双方风险与收益的不匹配。在市场利率服从几何布朗运动的基础上,本文从隐含期权视角出发构建固定利率住房抵押贷款单位风险收益最大化模型,并求出最优解,为商业银行固定利率住房抵押贷款定价提供理论和技术参考。Due to limited experience, the pricing of fixed-rate mortgage of commercial banks in China is not well imple- mented, which not only effects the healthy development of fixed-rate mortgage, but also leads to asymmetry of risk-income between borrowers and lenders. Given the market interest rate consistent with geometric Brownian motion, we build a maxi- mized return per unit of risk model about fixed-rate mortgage from the perspective of embedded option. The aim of this paper is to provide theoretical and technical reference for commercial banks fixed-rate mortgage pricing.

关 键 词：固定利率抵押贷款 隐含期权 单位风险收益 利率定价 

分 类 号：F830[经济管理—金融学]