抵押贷款定价:基于欧式期权定价的研究

本文假设借贷双方对抵押资产拥有相同的信息并对其未来价值有相同的认知,利用期权定价技术,证明了一个抵押贷款合同与一个定期债券和一个对借款方抵押资产的卖出期权是等价的。研究结果显示,贷款方提供给借款方的贷款不会超过抵押资产的市场价值,研究还发现,随着抵押资产市场价值的增加,贷款的供给也会增加;抵押资产价值的波动率、利率、分红率的增加能分别降低贷款的供给。最后以个人住房抵押贷款为例对上述结论进行了解释。

The Research of Option Pricing on Mortgage Loan

The author supposes lenders and borrowers possess identical information and similar beliefs about collateral future value. Using option pricing techniques, we shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default. We finds that the lender will not advance to the borrower a loan that exceeds the market value of the collateral, and that the supply of loans increases with a rise in the market value of the collateral. Increases in the volatility of the value of the collateral, interest rate, and dividend rate of the collateral independently depress the loan supply.