浮动利率住房抵押贷款提前还款期权的识别和定价

Repayment Option Pricing of the Floating Rate Mortgages

我国存贷款利率调整频繁且幅度大,对浮动利率住房抵押贷款提前还款行为造成了很大的影响。鉴于此,在识别浮动利率住房抵押贷款业务和提前还款期权的基础上,选择CIR模型刻画市场短期利率变动过程,选择纯跳模型刻画我国贷款基准利率变动过程,采用美式期权定价方法,在理论上给出了浮动利率住房抵押贷款提前还款期权的定价。

Due to the frequent and large adjustment of the deposit and loan interest rate in China, it has a great impact on the repayment behavior of the floating rate mortgages. This paper uses the CIR model and a jump process to describe the short-term interest rate and loan interest rate separately, and gives a floating rate mortgage prepayment option pricing in theory using the methods of pricing American options.