Research On The Housing Mortgage Rate Pricing From The Perspective Of Embedded Option

In recent years,with frequent fluctuation in the housing market,countries have been proposed restrictions on the house, so residents’ housing problem become a hot topic of current concern.In the financial markets, housing is related most closely to the housing mortgage loan business of commercial Banks. Each big commercial bank once concentrated the housing mortgage loan business as their core competitive factors,and the housing mortgage loan as high-quality assets.And how to make reasonable pricing of housing mortgage loan to make the commercial Banks in the borrower repays ahead and default costs involved in both cases the urine has become an important problem they need to solve.Housing mortgage loan from the perspective of this article is based on embedded option pricing problem.Respectively from three issues are addressed.First,consider the borrower to repay the loan ahead of schedule in a separate case analysis of the pricing problems of housing mortgage loan;second, in the case of the considered separately the borrower default analysis of the pricing problems of housing mortgage loan; third, at the same time to consider interest rate and house prices fluctuated at the same time under the housing mortgage loan pricing.For the above three questions,this paper analysis the borrower to repay the loan ahead of schedule or the reasons for default behavior and the behavior of borrowers will have what impact on commercial Banks. Then based on the theory of option pricing,in repays ahead case selecting CIR term model,and in case of default selection follows geometric Brown motion model of house prices respectively using the differential equation of option pricing and pricing constraints calculate repay ahead of schedule and defaults when the value of implied options.In interest rates and house prices fluctuate of the value of the compound options at the same time is also solved.In view of the above research results, in the last chapter,the paper proposes the rationalization proposal.It is a hope that countries government related department in view of the current status of strengthen the macro-control of the real estate market and interest rate market,the restrictive measures, such as may be applied for by raising debt threshold in order to prevent the interest rate market and the large fluctuations of the real estate market to the financial economic consequences;second,each big commercial bank can reference articles of options implied expression,when handling the housing mortgage loan business and reasonable pricing,trying to minimize the bank losses.