期权视角下房屋预售合约定价模型

doi:10.12005/orms.2017.0273

运筹与管理 ›› 2017, Vol. 26 ›› Issue (11): 154-160.DOI: 10.12005/orms.2017.0273

期权视角下房屋预售合约定价模型

胡蓉¹, 郑军²

1.广东金融学院金融数学与统计学院,广东广州 510520;
2.广东财经大学金融学院,广东广州 510320;

收稿日期:2016-06-17 出版日期:2017-11-25
作者简介:胡蓉(1979-),女,湖南衡阳人,讲师,博士,研究方向:金融计算,数据挖掘;郑军(1981-),男,贵州铜仁人,讲师,博士,研究方向:金融工程,金融数学。
基金资助:
广东金融学院校级课题(15XJ02-12);广东省哲学社会科学规划项目(GD15YYJ06);广东省教育厅2016年科研项目(2015WQNCX044);广东金融学院2017年创新强校培养创新型、应用型和技术技能型人才类项目

The Pricing Model of Housing Presale Contract in Option Perspective

HU Rong¹, ZHENG Jun²

1.School of Financial Mathematics and Statistics, Guangdong University of Finance, Guangzhou 510520, China;
2.School of Finance, Guangdong University of Finance & Economics, Guangzhou 510320, China;

Received:2016-06-17 Online:2017-11-25

摘要/Abstract

摘要： 房屋预售合约赋予了购房者以给定的价格购买房屋的权利,具有期权性质。首先基于房地产市场具有摩擦的事实,将房屋预售合约视为房价的期权合约,然后通过将房价演变过程模型化为Ornstein-Uhlenbeck过程,导出了预售合约的合理价格(即首付)的解析表达式,最后比较了采用几何布朗运动与Ornstein-Uhlenbeck过程模拟房价变化所得房屋预售价格的差异。结论认为,基于Ornstein-Uhlenbeck过程导出的房屋预售合约价格相较于几何布朗运动下的预售合约价格具有更小的套利空间。

关键词: 房屋预售合约, OU过程, 期权定价, Bellman方程

Abstract: Housing presale contract gives buyers the right to buy houses at a given price, which is the nature of options. In this paper we firstly regard housing presale contract as the option contract of house price based on the fact that the real estate market has friction. Then the Ornstein-Uhlenbeck process is used to simulate the evolution process of house price, and the analytical expression of the reasonable price of the presale contract (i.e. down payment) is derived. Finally, the difference between the presale prices derived by adopting the geometric Brown motion and Ornstein-Uhlenbeck process to simulate the changes of housing prices is compared. The results show that the arbitrage space of presale contract price based on the Ornstein Uhlenbeck process is smaller than that obtained from the geometric Brownian motion.

Key words: housing presale contract, OU process, option pricing, bellman equation

中图分类号:

F224.12

胡蓉, 郑军. 期权视角下房屋预售合约定价模型[J]. 运筹与管理, 2017, 26(11): 154-160.

HU Rong, ZHENG Jun. The Pricing Model of Housing Presale Contract in Option Perspective[J]. Operations Research and Management Science, 2017, 26(11): 154-160.

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期权视角下房屋预售合约定价模型

The Pricing Model of Housing Presale Contract in Option Perspective

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