论文标题
欧洲抵押贷款选择的近似封闭式
An approximate closed formula for European Mortgage Options
论文作者
论文摘要
本文的目的是调查使用近似公式近似来定价欧洲抵押贷款选择。在逻辑持续时间和正常抵押贷款率的假设下，期权到期时的基本价格通过匹配矩偏移的对数正态或常规对数正态分布近似。一旦通过对数正态分布近似价格函数，就可以通过使用Black-Scholes-Merton Close公式在期权到期时将期权价格直接计算为分布函数的集成。我们将看到，较低的曲率级别对应于正面的偏斜价格分布，在这种情况下，logNortal近似近似会导致所有模型参数的接近参数公式表示。在不同的市场和合同参数下针对蒙特卡洛方法对所提出的方法进行了测试，测试证实了近似近似的精度非常好。
The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is approximated by shifted lognormal or regular lognormal distribution by matching moments. Once the price function is approximated by lognormal distributions, the option price can be computed directly as an integration of the distribution function over the payoff at the option expiry by using Black-Scholes-Merton close formula. We will see that lower curvature levels correspond to positively skewness price distributions and in this case lognormal approximation leads to close parametric formula representation in terms of all model parameters. The proposed methodologies are tested against Monte Carlo approach under different market and contract parameters and the tests confirmed that the close form approximation have a very good accuracy.
