| 住房抵押贷款的违约特性及其定价分析 |
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| 引用本文： | 戴建国,黄培清.住房抵押贷款的违约特性及其定价分析[J].上海交通大学学报,2001,35(12):1881-1884. |
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| 作者姓名： | 戴建国 黄培清 |
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| 作者单位： | 上海交通大学,安泰管理学院, |
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| 摘 要： | 在房屋价格随机波动的条件下，通过对住房抵押贷款违约行为的经济分析，研究了住房抵押贷款价值函数的二阶性质，引入了关于违约的新条件，得出了关于违约无差异性的住房抵押贷款价值函数，进而得到了违约概率函数的精确表达式。最后，建立了住房抵押贷款价值的期望值公式。
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| 关 键 词： | 住房抵押贷款 违约 房屋价格 期权定价 |
| 文章编号： | 1006-2467(2001)12-1881-04 |
| 修稿时间： | 2000年5月31日 |
Default Characteristics of Mortgage and Mortgage pricing |
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| DAI Jian guo,HUANG Pei qing.Default Characteristics of Mortgage and Mortgage pricing[J].Journal of Shanghai Jiaotong University,2001,35(12):1881-1884. |
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| Authors: | DAI Jian guo HUANG Pei qing |
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| Abstract: | Under stochastic property of long term housing price, the economic implications of mortgage defaulting were discussed, the secondary partial derivative of mortgage pricing function was analyzed in detail, and an additional condition of defaulting was introduced. A housing price function with non difference property of defaulting was obtained. Furthermore, an analytic formula of default probability function and an expectation formula of mortgage pricing were developed. |
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| Keywords: | mortgage default housing price optional pricing |
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