“住房抵押贷款支持证券”定价模型及其应用——基于最优期权赎回策略的分析

The Pricing Model of the MBS Based on the Optimal Option Call Policy and Numerical Analysis

从最优期权赎回策略的角度探讨了借款人的提前清偿行为,从理论上推导了一般债券定价的偏微分方程,分析了住房抵押贷款支持证券及其它四类债券定价的边界条件,利用隐形差分法求解了在CIR模型下的偏微分方程并获得了MBS的最优赎回利率,比较分析了MBS和其它债券的价格关系。

In this paper, we analyze the prepayment behavior of the borrower form the perspective of the optimal option call policy. We theoretically derive the generic pricing partial equation and analyze the boundary condition to the mortgage backed security （MBS） and other four bonds. Then we numerically solve the partial equation under the CIR model and get the optimal call interest rate for the MBS. After comparisons, the relationships between the prices of MBS and other bonds are also analyzed.