Research of the amortizing decision-making based on option pricing model
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Abstract:
Based on option pricing theory models explores, the problem whether the mortgagors should am-ortize in advance under the circumstance were explored. TTie price of real estate is driven by geometric Brown motion (GBM). The problem was solved through the optimal stopping time theory with explicating option value in amortizing decision. It also explains the economic and policy implications of the model through making the reachable analysis and comparative static analysis for the results.
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ZHANG Zhongda, ZHANG Zhongxing, WU Chao. Research of the amortizing decision-making based on option pricing model[J].,2009,26(2):93-97