Research On Pricing Of Housing Reverse Mortgage Based On Option Theory

Recently,China is entering an aging stage,and the number of elderly people is increasing.There will be more “four-two-one” and “empty nest” families in China,and the family's pension form is not applicable.For society,with the increase of the elderly population,it will inevitably bring more financial pressure on the current social security.As a product that has been used abroad for many years,reverse mortgage provides a way to alleviate China's problems and balance the elderly consumer groups and loan organizations.As a strong path option,the Asian option relies on the average price over a period of time.When the house price falls,the consumer group wants to obtain a higher loan amount,which hides a bearish relationship.Conversely,when the house price rises,the loan organization wants to give the consumer group a lower loan amount,which hides a bullish one.Therefore,how to make the option price become a key issue,this paper will focus on the research and analysis of the geometric average under the CIR interest rate.The research work of this paper as follows:First,assuming that the interest rate is subject to the CIR interest rate model,the rate data is selected to estimate the CIR model parameters;likewise,assume the house price fluctuations satisfy the Brownian condition.The logarithm function of the sub-path volume of this model is solved by solving the Cauchy problem of the corresponding equation,and then the function is derived based on stochastic volatility,stochastic interest rate,CIR stochastic wave rate and stochastic profit model.The semi-solution formula of the bullish.Second,use the Asian parity formula to derive the formula for the geometric mean Asian bearish.The Asian option theory for fixed rate the valence model was revised and a sub-model of sub-price and CIR stochastic volatility at CIR rate was proposed.Third,numerical simulation of the fixed Asian pricing model.Formulas that affect Europe and Asian sensitive parameters are calculated separately.At the same time,the sensitivity analysis of the parameters in the above two types was carried out.By comparison,it is concluded that the pricing of Asian-style is more scientific,more attractive to consumer groups and loan organizations,and helps to improve the quality of life of the elderly.