基于结构化模型的住房抵押贷款定价研究

住房抵押贷款隐含着提前支付期权与违约期权，而期权是否执行取决于利率与房价两个风险因子.传统的结构化期权定价理论往往高估了住房抵押贷款的期权价值.采用双二叉树网格定价模型在Wei模型的基础上考虑多步跳跃的情形，并结合HST模型消除状态变量相关性，另外引入社会成本这一变量，使模型具有更好的适用性.实证分析表明，房价波动超过一定幅度时期权价值迅速增加，利率波动直接影响期权价值或通过影响房价间接影响着期权价值.因此，必须重视利率对房地产市场的影响并加强宏观调控以维护房地产市场健康发展.

Study of the Pricing of Housing Mortgage Loan Based on Structured Mode

Prepayment option and default option are implied in the housing mortgage loan, but whether they will be carried out depends on two risk factors, which are interest rate and housing price. Traditional structured option pricing theory usually overestimates the option value of housing mortgage loan. The double binomial tree quid pricing model makes it better adaptive by taking multi-step jumping cases into account on the basis of model Wei, combining HST model to remove state variables'' correlation and by introducing social cost as a variable. The empirical analysis indicates that the option value increases sharply when housing price fluctuates to a certain extent, and interest rate fluctuation influences the option value directly or indirectly by affecting housing price. Therefore, it is necessary to pay great attention to the impact of interest rate on real estate market, and to strengthen the macro-control on real estate market in order to maintain its healthy development.