住房养老反向抵押贷款的美式期权特征与蒙特卡罗模拟定价  

American Option Features of Reverse Mortgage Loan and Monte Carlo Simulation Pricing Methods

作　　者：马俊海[1] 

机构地区：[1]浙江大学城市学院,浙江杭州310015

出　　处：《金融经济学研究》2014年第5期57-69,共13页Financial Economics Research

基　　金：国家自然科学基金项目(71271190);教育部人文社会科学规划项目(11YJA790103)

摘　　要：基于隐含期权分析视角,运用美式期权定价方法和最小二乘蒙特卡罗数值模拟技术,对可赎回反向抵押贷款定价问题进行研究。首先,对其期权特征及价值构成进行分析;其次,将CKLS单因子利率模型与正态分布跳跃有机结合,建立标的利率与房价变动的随机动态模型,并运用马尔科夫链蒙特卡罗模拟方法(MCMC)进行模型参数估计;最后,运用双标的最小二乘蒙特卡罗模拟方法(双标的LSM)对其隐含期权价格进行有效模拟计算。结论是,有赎回权反向抵押贷款的美式期权特征越来越明显,隐含期权价值比重越来越大;因此,多标的LSM将成为解决其定价问题的有效方法与途径。Basing on the point of embedded options analysis,this paper makes a reasonable pricing for Reverse mortgage loan with the right of redemption using the American option pricing theory and Monte Carlo simulation method. Firstly,this paper makes an analysis for the option feature and value composition of Reverse mortgage loan;Secondly,combinating the CKLS single factor interest rate models with jump factor with normal distribution,we set up stochastic dynamic models for interest rate and house price changes,and estimates the parameters of the models using the method of simulation of Markov Monte Carlo（hereafter referred to as MCMC）. Finally,we make an effective simulation for calculation of the implied option price by using the Least Squares Monte Carlo simulation method（hereafter referred to as the double labeled LSM）. The study concludes that,American option features of reverse mortgage with the right of redemption become more and more obvious,and the valuation of embedded options has got larger and large. Therefore,LSM will become the effective methods and ways to solve the pricing problem.

关 键 词：反向抵押贷款 赎回权 MCMC方法 双标的LSM方法 美式期权 

分 类 号：F832.4[经济管理—金融学]