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当前抵押贷款证券化产品定价方法主要是现金流贴现取平均的方式,其本质是一种风险中性定价,忽视了不同投资者的风险态度在资产定价中的决定作用。本文运用Hodges and Neuberger(1989)提出的效用无差别定价原理,提出抵押贷款证券化衍生产品定价的一种新的方法。假设投资者具有对数消费效用,本文得到了易于实现的抵押贷款证券化产品定价计算公式,给出了Monte Carlo数值计算方法和应用举例,并进行了比较静态分析。
At present, the pricing method of securitized mortgage-backed products is mainly a method of averaging cash flow discounting. The essence of the pricing method is a kind of risk-neutral pricing, ignoring the decisive role of different investors’ risk attitudes in asset pricing. In this paper, a new method of pricing securitization derivatives is proposed by using the principle of undifferentiated utility pricing proposed by Hodges and Neuberger (1989). Assuming that investors have logarithmic consumption utility, this paper obtains the pricing formula of mortgage-backed securitization products that is easy to implement. The Monte Carlo numerical calculation method and application examples are given, and the comparative static analysis is given.