住房抵押贷款保证险的期权定价

Option pricing of mortgage insurance

针对住房抵押贷款保证险的期权特性,将其视为美式看跌期权,利用期权定价的二叉树方法对其进行定价.从实际情况出发,在传统的二叉树模型上增加一个代表房屋出租价值的参数δ,并重新构造了模型中的其它参数.新的参数较原参数更加合理,模型永远不会产生负的概率.最后给出了一个实际算例.

Mortgage insurance is regarded as an American put option because it has characteristics of option. The binomial tree model of option pricing is introduced to price the mortgage insurance. On the basis of facts, a parameter δ representing rent is added in the usual binomial tree model. Then other parameters of the binomial tree model are reconstructed. The new parameters are more reasonable than the old ones and the model never produces negative probabihty. Finally, an actual example is given.