反向抵押贷款的房价波动风险研究——基于期权定价的实证分析  

Research on Housing Price Risk of Reverse Mortgage——An Empirical Analysis Based on Option Design

作　　者：刘沁璐[1] 周延[1] 

机构地区：[1]华东师范大学金融与统计学院,上海200241

出　　处：《华东经济管理》2013年第9期111-114,共4页East China Economic Management

基　　金：上海市保险学会2012年资助项目"上海市住房反向抵押贷款养老保险问题研究"

摘　　要：文章为规避房价下跌风险设计了一款反向抵押价值期权,采用Black-Scholes公式建立期权定价模型,在假设标的价格服从Ito过程的基础上,借助伊藤引理导出期权执行价格的随机过程,并以上海市二手房价格数据,利用Matlab仿真工具模拟了定价结果,且进行了敏感性分析,以期为防范反向抵押贷款的房价波动风险提供参考。To avoid the risk of falling house prices,the paper designed a reverse mortgage value options. Black- Scholes formula is adopted to establish the option-pricing model,on the basis of assuming the price follows Ito process,using Ito’s lemma to figure out the random progress of options strike price. Then Matlab simulation tools are used to simulate the pricing result by using the second-hand house price data in Shanghai,and the sensitivity analysis is carried on,in order to provide the reference for preventing the reverse mortgage housing volatility risk.

关 键 词：反向抵押贷款 房价波动风险 反向抵押价值期权 BLACK-SCHOLES期权定价模型 

分 类 号：F832.45[经济管理—金融学]