| 跳-扩散模型下一类房产期权模型及计算分析 |
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| 引用本文： | 王志焕,林建伟. 跳-扩散模型下一类房产期权模型及计算分析[J]. 扬州大学学报(自然科学版), 2011, 0(3) |
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| 作者姓名： | 王志焕 林建伟 |
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| 作者单位： | 华侨大学数学科学学院;莆田学院数学系; |
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| 基金项目： | 国家自然科学基金资助项目(11001142); 华侨大学科研基金资助项目(09hzr24) |
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| 摘 要： | 假设房产价格服从跳-扩散模型,研究分期付款看涨房产期权的定价问题.以北京西奥中心写字楼以租代售的实例为背景,在Black-Scholes框架下建立了实物期权定价的偏微分方程模型,推导出相应的二叉树格式离散模型,并进行数值模拟和参数分析,结果表明该模型较扩散模型更接近实际市场.
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| 关 键 词： | 跳-扩散模型 房产期权 偏微分方程 二叉树方法 |
The pricing model and numerical analysis for a kind of real estate option in jump-diffusion model |
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| WANG Zhi-huan{},LIN Jian-wei. The pricing model and numerical analysis for a kind of real estate option in jump-diffusion model[J]. Journal of Yangzhou University(Natural Science Edition), 2011, 0(3) |
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| Authors: | WANG Zhi-huan{} LIN Jian-wei |
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| Affiliation: | WANG Zhi-huan{1},LIN Jian-wei2 (1.Sch of Math Sci,Huaqiao Univ,Quanzhou 362021,China,2.Dept of Math,Putian Univ,Putian 351100,China) |
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| Abstract: | The author investigates the installment call options pricing of real estate in jump-{diffusion} model.Under the background of consignment to rent of xi'ao center office in Beijing,this {paper} establishes the real estate option pricing of partial differential equation model under the framework of Black-Scholes,and deduces the corresponding binary tree format,discrete model numerical simulation and parameter analysis.The results show that the jump-diffusion model is closer to the real market than the diffusi... |
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| Keywords: | jump-diffusion model real estate options partial differential equations binary tree method |
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