篇名 | Simplifying the valuation of reverse annuity mortgages |
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並列篇名 | 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 |
英文摘要 | 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%.
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起訖頁 | 97-123 |
關鍵詞 | Reverse mortgage、Annuity、Option pricing |
刊名 | 陽明交大管理學報 |
出版單位 | 陽明交通大學管理學院(原:交通大學管理學院) |
期數 | 201606 (36:1期) |
DOI | 10.3966/102873102016063601004 複製DOI DOI申請 |
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