期权视角下房屋预售合约定价模型

房屋预售合约赋予了购房者以给定的价格购买房屋的权利,具有期权性质。首先基于房地产市场具有摩擦的事实,将房屋预售合约视为房价的期权合约,然后通过将房价演变过程模型化为Ornstein-Uhlenbeck过程,导出了预售合约的合理价格(即首付)的解析表达式,最后比较了采用几何布朗运动与Ornstein-Uhlenbeck过程模拟房价变化所得房屋预售价格的差异。结论认为,基于Ornstein-Uhlenbeck过程导出的房屋预售合约价格相较于几何布朗运动下的预售合约价格具有更小的套利空间。

The Pricing Model of Housing Presale Contract in Option Perspective

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.