住房抵押贷款的提前支付特性及其定价  

Prepayment Characteristics of Mortgage and Mortgage Pricing

作　　者：戴建国[1] 黄培清[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程理论方法应用》2001年第2期121-124,130,共5页Systems Engineering Theory·Methodology·Applications

摘　　要：住房抵押贷款定价是住房抵押贷款证券化的核心问题。带有提前支付特性的期权定价方程无法直接求出解析解 ,而传统的近似方法有其局限性。本文在充分研究住房抵押贷款价格函数对于提前支付行为的二阶性质的基础上 ,确定了有关提前支付的无风险利率临界条件 ,得到了提前支付概率的精确公式和住房抵押贷款定价的期望值模型。Mortgage pricing is a key field of mortgage securitization. No analytic formula have been solved from mortgage pricing equation with prepayment, and approximation methods limited in their application. In this paper, the prepayment property of pricing function is analyzed in detail. The boundary condition of risk-free interest rate is obtained. Furthermore, probability function of prepyment and the expectation value of mortgage pricing are determined.

关 键 词：住房抵押贷款 提前支付 无风险利率 期权定价 价格函数 期望值模型 证券化 

分 类 号：F830.572[经济管理—金融学] F830.91