| 一类地产期权的微分方程定价模型及其计算 |
| |
| 引用本文： | 叶勇强,陆晓娇.一类地产期权的微分方程定价模型及其计算[J].数字社区&智能家居,2014(8):5319-5322. |
| |
| 作者姓名： | 叶勇强 陆晓娇 |
| |
| 作者单位： | 浙江万里学院计算机与信息学院,浙江宁波315100 |
| |
| 基金项目： | 本项目受国家级大学生创新创业训练计划项目（201310876007）资助 |
| |
| 摘 要： | 该文以北京西奥中心写字楼为例，分析“以租待售”型房地产营销工具具有的分期付款期权特性，运用Δ-对冲技巧和Ito引理，构造了美式分期付款地产期权的微分方程定价模型，并确定了定价模型中各个变量的内涵，包括标的资产价格、波动率、期限和执行价等。针对北京西奥中心写字楼的具体市场数据，应用有限差分策略进行数值计算，得到了相应的期权价值。
|
| 关 键 词： | 地产期权 美式分期付款期权 Black-Scholes方程 有限差分法 |
The PDE Pricing Model and Numerical Method for a Kind of Real Estate Option |
| |
| YE Yong-qiang,LU Xiao-jiao.The PDE Pricing Model and Numerical Method for a Kind of Real Estate Option[J].Digital Community & Smart Home,2014(8):5319-5322. |
| |
| Authors: | YE Yong-qiang LU Xiao-jiao |
| |
| Affiliation: | (College of Computer Science and Information Technology, Zhejiang Wanli University, Ningbo 315100, China) |
| |
| Abstract: | An example of＆quot;rents for sale＆quot;type of real estate option, the selling problem of Xi’ao center’s offices in Beijing, is pre-sented as a modified installment option. Based on theΔhedging and Ito lemma, a partial differential equation （PDE） model is es-tablished under the neutral risk assumption. The meaning of each variable of the model is determined, including the value of the underlying asset, the volatility of the underlying asset, expiry date, the option exercise price and the risk-free interest rate. The price of the modified installment option is obtained by applying a finite difference scheme based on a layer-adapted mesh. |
| |
| Keywords: | real estate option american installment option black-scholes equation finite difference method |
| 本文献已被 维普 等数据库收录！ |
