跳扩散模型下具有违约风险的房产期权定价

发布时间：2018-04-05 22:12

本文选题：房产期权　切入点：O-U过程　出处：《南京师范大学》2017年硕士论文

【摘要】：期权作为一种重要的金融衍生工具除了在金融市场中的广泛运用,在实物市场也被大量地运用,而房产期权就是实物市场中期权运用的一个典型案例.我国房产销售基本上实行的是预售制.预售制指的是房地产开发商将尚未建成的房产与购房者约定,由购房者交付定金或预付款,使购房者在未来约定的时间拥有此套房产的一种交易行为.很多研究者曾在经典的Black-Scholes期权定价模型下对房产期权进行讨论,本文描述房产价格的模型是对经典的Black-Scholes模型进行了改进,构造了一类指数O-U跳扩散过程来描述房产价格,从而建立新的房产期权定价模型,另外,还考虑了违约风险这一影响房产期权定价的主要因素,并对模型进行求解,获得相应的解析式.最后,运用鞅定价方法及保险精算方法分别计算这类模型下的房产期权价值的解析公式.
[Abstract]:As an important financial derivative, option is widely used in the financial market, and it is also widely used in the real market, and the real estate option is a typical case of the use of options in the real market.China's real estate sales are basically implemented in advance of the system.Pre-sale system refers to the real estate developers will not have completed properties and buyers agreed by the buyers to pay a deposit or an advance so that buyers in the future agreed time to own the property a transaction behavior.Many researchers have discussed the real estate option under the classical Black-Scholes option pricing model. This paper describes the real estate price model is an improvement to the classic Black-Scholes model, constructed a class of index O-U jump diffusion process to describe the real estate price.A new real estate option pricing model is established. In addition, the default risk is considered as the main factor affecting the property option pricing, and the corresponding analytical formula is obtained by solving the model.Finally, we use martingale pricing method and actuarial method to calculate the analytical formula of the property option value under this kind of model.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F299.23;F724.5

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