运筹与管理2017，Vol.26Issue(11)：154-160,7.DOI:10.12005/orms.2017.0273
期权视角下房屋预售合约定价模型
The Pricing Model of Housing Presale Contract in Option Perspective
摘要
Abstract
Housing presale contract gives buyers the right to buy houses at a given price,which is the nature of options.In this paper we firstly regard housing presale contract as the option contract of house price based on the fact that the real estate market has friction.Then the Ornstein-Uhlenbeck process is used to simulate the evolution process of house price,and the analytical expression of the reasonable price of the presale contract (i.e.down payment) is derived.Finally,the difference between the presale prices derived by adopting the geometric Brown motion and Ornstein-Uhlenbeck process to simulate the changes of housing prices is compared.The results show that the arbitrage space of presale contract price based on the Ornstein Uhlenbeck process is smaller than that obtained from the geometric Brownian motion.关键词
房屋预售合约/OU过程/期权定价/Bellman方程Key words
housing presale contract/OU process/option pricing/bellman equation分类
管理科学引用本文复制引用
胡蓉,郑军..期权视角下房屋预售合约定价模型[J].运筹与管理,2017,26(11):154-160,7.基金项目
广东金融学院校级课题(15XJ02-12) （15XJ02-12）
广东省哲学社会科学规划项目(GD15YYJ06) （GD15YYJ06）
广东省教育厅2016年科研项目(2015WQNCX044) （2015WQNCX044）
广东金融学院2017年创新强校培养创新型、应用型和技术技能型人才类项目 （）
