Theory And Numerical Simulation Of Pricing Real Estate Index Option

Since the twenty-first century,the price of real estate assets have been unilateral rising,which increased the risk of the real estate market.If the risk of the real estate market canot be effectively managed,there will be a significant detrimental effect on China's economy,even spreading to the world economy.Therefore,the research of the real estate market risk management is meaningful.From the perspective of managing the real estate market risk,this essay studies how to use real estate derivatives to hedge the real estate market risk.This paper,based on the theory of no-arbitrage,constructs the risk-free combination of real estate derivatives,then deduces the partial differential equation satisfying the real estate derivatives,and establishes the real estate index option pricing model.Then we use the numerical method to study real estate index option pricing,and discuss how to apply the finite difference and radial basis point interpolation to solve the real estate index option model respectively.In addition,this paper also studies the trading strategy of real estate index options,and constructs some trading strategy which are insensitive to special risk.Finally,taking the new house price index in the China Real Estate Index System as sample,this paper conducts the empirical analysis of the Chinese real estate index,and establishes the China Real Estate Index System.The results show that applying the finite difference method can get high precision of option price.The larger number of separation of the standard discrete points,the higher the accuracy of the solution,and the real estate index option price increases with the rising interest rates In this paper,the result of improved RBF method is more accurate than that of the traditional radial basis method.With slightly increasing the number of system matrix conditions,the denser the discrete points near the execution price,the higher the accuracy of the results.Besides,both of the two numerical methods discussed in this paper can be applied to American option pricing.China real estate index empirical study reveals that China real estate index shows a similar property to the European and American real estate index,of which the yield rate displays a positive autocorrelation in short term and,a negative autocorrelation in long term,and also has the property of mean return from the long term.