无违约风险的可调支付利率抵押贷款定价原理

可调支付利率抵押贷款是指支付利率需要不断调整的一种抵押借贷方式，它的定价问题是相当复杂的，因为支付利率的不断改变，所以定价问题不仅涉及比较多的状态变量，而且与一些状态变量的路径有关，对于无违约风险的可调支付利率抵押贷款，论文首先建立它的定价模型，其次利用偏微分方程理论证明了它的性质：每一调整期内提前支付的实施边界与当前调整期期初的剩余本金无关，利用这一结论建立了它的离散计算格式，最后根据具体的计算实例，得到无违约风险的可调支付利率抵押贷款的一些风险特性。

Theory of pricing no-default adjusted-rate-mortgage

Adjusted_rate_mortgage(ARM) is a contract that the payment_rate will be changed during the different period of time. It is difficult and complicated to price ARM. The reason is that the payment_rate of the contract is constantly changing. Therefore, the problem of pricing mortgage is related not only to many state variables, but also to their path. This paper firstly sets a pricing model for no_default ARM. Then by means of the partial differential theory, the article proves the result that the prepaid boundary during the adjusted period has no relations with the remains of loan at the beginning of the current adjusted_date. Based on the result, this paper establishs the discrete computing model for ARM and some characters of no_default ARM are obtained.