具有违约风险和交易费的房产期权定价  

Pricing of Real Option with Default Risk and Transaction Fee

作　　者：林鸿熙[1] 林建伟[2] 林清清[2] 黄清菊 

机构地区：[1]莆田学院商学院,福建莆田351100 [2]莆田学院数学系,福建莆田351100

出　　处：《数学的实践与认识》2013年第24期299-302,共4页Mathematics in Practice and Theory

基　　金：福建省社会科学规划项目(2012B023);福建省教育厅科技项目(JK2012045)

摘　　要：房价涨幅过快过高在中国房产市场已经是一个不容回避的问题.房产期权作为一种平衡买卖双方利益进行风险管理的有效工具应运而生.在Black-Scholes定价模型的基础上,考虑违约风险和交易费用这两个影响房产期权定价的重要因素,采用未定权益思想方法和△-对冲技巧建立了房产期权的定价模型,然后对模型进行求解,获得相应的数学公式,为考虑具有违约风险和交易费用影响下房产期权进行定价.In China＇s real estate market, housing prices with high and fast rising extent is an unavoidable problem. Real estate option, as an effective tool of risk management, balances the interests between the seller and the buyer. Based on tile Blaek-Scholes pricing model~ the pricing mathematical model of real estate option with default risk and transaction cost is established by contingent claims approach and hedging strategy, and the corresponding pricing formula of real estate option is obtained.

关 键 词：房产期权 违约风险 交易费用 

分 类 号：F293.3[经济管理—国民经济] F724.5F224