一种与得利宝有关的理财产品的定价分析被引量：1

Pricing Analysis of DE LI BAO-Related Financial Product

下载PDF

导出

摘要讨论了一种与得利宝有关的理财产品的定价问题,对其建立了数学模型.利用动态规划原理和It公式推导出它的定价方程是一个完全非线性偏微分方程:Hamilton-Jacobi-Bellman方程,并分析了解的存在性、唯一性和凸性,最后给出了数值算法. This paper presents a discussion on the pricing problem for a DE LI BAO-related financial product. The mathematic model is established. Based on the dynamic programming principle and Ito formula, a fully nonlinear equation for the pricing, Hamilton-Jacobi-Bellman equation, is derived. This paper also presents a study of the properties of the solution such as existence, uniqueness and convexity preserving property. Finally, the numerical arithmetic is obtained.

作者王杨边保军陈杰

机构地区同济大学数学系

出处《同济大学学报（自然科学版）》 EI CAS CSCD 北大核心 2008年第6期854-858,共5页 Journal of Tongji University:Natural Science

基金国家自然科学基金资助项目(10671144) 国家"九七三"重点基础研究发展计划资助项目(2007CB814903)

关键词理财产品得利宝 HAMILTON-JACOBI-BELLMAN方程唯一性凸性数值算法 financial product DE LI BAO Hamilton-Jacobi-Bellman equation uniqueness convexity numerical arithmetic

分类号 F830.9 [经济管理—金融学]

引文网络
相关文献

参考文献4

1Soner H M. Controlled Markov processes, viscosity solutions and applications to mathematical finance [ C] //Viscosity Solutions and Applications. Lecture Notes in Mathernaties. Berlin: Springer, 1997:134-185.
2Andersen L, Andreasen J, Brotherton-Ratcliffe R. The passport option[J]. Journal of Computational Finance, 1998, 1 (3) : 15.
3Huang C S, Wang S, Teo K L. Solving Harnilton-Jaeobi-Bellrnan equations by a modified method of characteristics [ J ]. Nonlinear Analysis, 2000, 40- 279.
4David Pooley. Numerical methods for nonlinear equations in option pricing[D]. Waterloo: University of Waterloo. Computer Science Department, 2003.