一类新型地产期权的Monte Carlo模拟定价研究

Monte Carlo Valuation of A Kind of Installment- Typed Real Estate Option

本文对一类新的"以租代售"型分期付款地产期权给出了两种Monte Carlo模拟定价算法.针对这类分期付款期权的特点,将求解美式期权的最小二乘模拟法(LSM)和最优执行边界法(OEF)加以扩展,得到了此类新型地产期权的模拟定价算法,并利用北京西奥中心写字楼的具体市场数据对期权定价进行了数值模拟,得出了期权的市场价值.

In this paper,we mainly consider the pricing of a new kind of real estate option which in fact can be viewed as an installment option. By popularizing the algorithms such as LSM and OEF,which can be used to value the plain vanilla American option,we can use them to price the installment option. An example of real estate option,the selling problem of Xi'ao center's offices in Beijing,is presented as a modified installment option. We finally give the price of the option.