有赎回权的住房反向抵押贷款定价方法的研究  

Research on Pricing Method of Housing Reverse Mortgage Loan with Right of Redemption

作　　者：林枫[1] 张美玲[1] 

机构地区：[1]浙江理工大学数学科学系,杭州310018

出　　处：《浙江理工大学学报（自然科学版）》2013年第2期280-283,共4页Journal of Zhejiang Sci-Tech University(Natural Sciences)

基　　金：国家自然科学基金项目(11101369);浙江省教育厅科研项目(Y201226295)

摘　　要：针对期权法的不足,修正了有赎回权的住房反向抵押贷款的定价方式,得到了改进的期权定价模型。又考虑到人的寿命对贷款期限的影响,进而利用精算原理对改进的期权定价模型进行了优化,得到了更精确合理的期权—精算定价模型及定价公式,并通过实例分析验证了方法的可行性与合理性。This paper revises the pricing method of housing reverse mortgage loan with right of redemption and obtains an advanced option pricing model in allusion to shortages of option method. Considering the influence of lifetime on the term of loan, it further uses actuarial principle to optimize the advanced option pricing model and obtains a more accurate and reasonable option-actuarial pricing model and method, and verifies the feasibility and rationality of the method through case analysis.

关 键 词：住房反向抵押贷款 赎回权 期权法 期权-精算法 

分 类 号：F224.9[经济管理—国民经济]