近年來對於不動產抵押貸款提前清償之研究,多數為探討借款者之各項因素,對於罰則方面的研究較為少見。有鑑於近來房市熱絡,投資客刻意炒作房價,促使政府積極干預房價以其合理化。不同於過去文獻,本研究將運用有限差分Crank-Nicholson法進行三維度數值模擬方式,評估房貸違約及提前清償之選擇權價值,並進一步求出觸發借款者提前清償之最低房價突破點。 本研究根據市場上已使用的提前清償罰則恆定比率(Permanent penalty),以增加成本的方式抑制提前清償發生,作為金融機構在承作房貸業務時管控借款者決策行為之參考,維持市場合理之房價,減少銀行業之損失與提高其獲利績效。
Recent mortgage prepayment are mostly studied the factors about borrower’s behaviors, but the studies of prepayment penalties are fewer. In view of the broad housing market, investors speculate in real estate. Urge the Government to actively intervene for the rationalization prices. Unlike previous studies, we use numerical simulation by the Crank-Nicolson method to estimate the value of a fixed-rate mortgage (FRM) with embedded default and prepayment options and further to find the trigger point of house price. This article base on the used prepayment penalty Permanent penalty which restrains prepayment by increasing cost. As a reference for banking institution in mortgage works decision-making. Maintain reasonable housing price, and promote its performance by reducing its loss.