標題: Simplifying the valuation of reverse annuity mortgages
不動產逆向抵押貸款年金的簡化評價方法
作者: Jow-Ran Chang
Jing-Tang Tsay
Che-Chun Lin
關鍵字: Reverse mortgage;;Annuity;;Option pricing
公開日期: 1-六月-2016
出版社: 交通大學
National Chiao Tung University
摘要: This research derives an approximate pricing formula for valuing reverse annuity mortgages that allows house prices and interest rates to be stochastic. Our approximation approach reduces computational intensity, because it only requires an expectation (average) and a variance of the termination time. We compare the results from our approximate pricing formula with results from simulations and find that the formula provides a close approximation to the simulation results. We conclude that these approximating formulae are useful in valuing and hedging reverse mortgage portfolios, whereas simulations are computationally prohibitive. We further note that the difference between the results of the approximation formula and the simulation is small and generally less than 1%.
URI: http://hdl.handle.net/11536/137192
ISSN: 1028-7317
期刊: 交大管理學報
Chiao Da Mangement Review
Volume: 36
Issue: 1
起始頁: 97
結束頁: 123
顯示於類別:交大管理學報


文件中的檔案:

  1. 1028-7310-360104.pdf