抵押贷款定价:基于欧式期权定价的研究The Research of Option Pricing on Mortgage Loan
仪垂林,刘玉华
摘要(Abstract)：
本文假设借贷双方对抵押资产拥有相同的信息并对其未来价值有相同的认知,利用期权定价技术,证明了一个抵押贷款合同与一个定期债券和一个对借款方抵押资产的卖出期权是等价的。研究结果显示,贷款方提供给借款方的贷款不会超过抵押资产的市场价值,研究还发现,随着抵押资产市场价值的增加,贷款的供给也会增加;抵押资产价值的波动率、利率、分红率的增加能分别降低贷款的供给。最后以个人住房抵押贷款为例对上述结论进行了解释。
关键词(KeyWords)： 抵押贷款;定价;欧式期权
基金项目(Foundation):
作者(Author): 仪垂林,刘玉华
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