Research On Pricing Model Of Real Estate Derivatives Based On Time-Varying Trend Estimation

The real estate market is an important part of the national economy,and the impact on the economic social is increasingly significant.Although only Europe and the United States have a more mature real estate derivatives market,because of its risk management,price discovery,rich investment and other functions,real estate derivatives get more and more attention.With the development of the real estate market and financial markets,the development of real estate derivatives market is an inevitable trend.Real estate index forecasting and real estate derivatives pricing are two very important content of the real estate theoretical research field.Domestic researchers have made great achievements in the research of housing price index forecasting methods.This paper is based on the target of how to apply the advantages of these forecasting methods to the real estate derivatives pricing model,so that the pricing of house price derivatives can be more accurate,flexible and dynamical.This paper first elaborates the background and significance of the research.Secondly,in order to better understand the real estate price index forecasting methods and real estate derivative pricing models,this paper summarizes the related research at home and abroad,collates various house price index forecasting methods and the main real estate derivatives pricing models,especially makes a detailed description about these pricing models' Pricing ideas,calculation steps and model features.Finally,select the pricing framework proposed by Fabozzi and Shiller considering of flexibility and operability.Based on the real estate derivatives pricing framework of Fabozzi and Shiller,the time in the model is adjusted to the period between the two prices updating,and the stochastic process of the house price index is segmented by index cycle.The quadratic exponential smoothing method realizes dynamic trend estimation and the pricing model of real estate derivatives based on time-varying trend estimation is constructed.In order to improve the dynamic and accuracy of the pricing process,the mean recovery rate and the volatility parameter in the pricing model are set to time variables,and the parameters are estimated by martingale estimation method and quadratic variation method respectively.Finally,the real estate derivatives pricing method based on the time-varying O-U model is proposed.The pricing process for the above two derivatives pricing models is displayed with the SP / CS housing index on the Chicago Mercantile Exchange and its futures contract.The obtained reasonable values of each parameter verify the feasibility and correctness of the time-varying trend pricing model and the time-varying O-U process pricing model.Comparing to original model with the trend estimation and risk market price structure,the two pricing models have the advantages,such as,dynamic pricing,precision,sensitivity to fluctuation,and adaptable for short index series.Finally,the time-varying O-U model is applied to the residential price index of China's 100 cities,and the term structure of the index of housing price index is consistent with the actual index trend,which indicates that the time-varying model can be used for the pricing of real estate derivatives in China.