|本期目录/Table of Contents|

[1]林枫,张美玲. 有赎回权的住房反向抵押贷款定价方法的研究[J].浙江理工大学学报,2013,30(02):148-151.
 LIN Feng,ZHANG Mei ling. Research on Pricing Method of Housing Reverse Mortgage Loanwith Right of Redemption[J].Journal of Zhejiang Sci-Tech University,2013,30(02):148-151.
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 有赎回权的住房反向抵押贷款定价方法的研究()
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浙江理工大学学报[ISSN:1673-3851/CN:33-1338/TS]

卷:
第30卷
期数:
2013年02期
页码:
148-151
栏目:
经济与管理
出版日期:
2013-03-01

文章信息/Info

Title:
 Research on Pricing Method of Housing Reverse Mortgage Loanwith Right of Redemption
文章编号:
16733851 (2013) 02028004
作者:
 林枫 张美玲
 浙江理工大学数学科学系, 杭州 310018
Author(s):
 LIN Feng ZHANG Meiling
 School of Sciences, Zhejiang SciTech University, Hangzhou 310018, China
关键词:
 住房反向抵押贷款 赎回权 期权法 期权—精算法
分类号:
F224.9
文献标志码:
A
摘要:
    针对期权法的不足,修正了有赎回权的住房反向抵押贷款的定价方式,得到了改进的期权定价模型。又考虑到人的寿命对贷款期限的影响,进而利用精算原理对改进的期权定价模型进行了优化,得到了更精确合理的期权—精算定价模型及定价公式,并通过实例分析验证了方法的可行性与合理性。

参考文献/References:

 [1] 王微, 吴君民, 王秀萍. 有赎回权的住房反向抵押贷款定价研究[J]. 研究与探索, 2009(12): 3536.
[2] Mitchell O, Piggott J. Unlocking housing equity in Japan[J]. J Japanese Int Economics, 2004(18): 466505.
[3] 阎春宁, 张伟, 祝罗骁. 住房反向抵押贷款定价模型的比较分析[J]. 价值工程, 2010(31): 3132.
[4] 李瑾卓. 有赎回权的住房反向抵押贷款定价模型的定量研究[J]. 经济与管理研究, 2011, 30(12): 124128.
[5] Goodman V, Stampfli J. The Mathematics of Finance: Modeling and Hedging[M]. Australia, Pacific Grove, CA: Brooks/Cole, 2001: 25121.

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备注/Memo

备注/Memo:
 收稿日期: 2012-09-11
基金项目: 国家自然科学基金项目(11101369);浙江省教育厅科研项目(Y201226295)
作者简介: 林枫(1976-),女,广东潮阳人,硕士,讲师,主要从事概率统计、保险精算、金融数学的研究。
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