摘要
通过It公式建立了农业银行境外宝汇率挂钩型理财产品的数学模型,在一定的挂钩条件下,得到模型的显式表达式.与此同时,考虑了该问题的反问题,确定方程中的障碍比例系数c.最后我们采用两种方法对原问题进行蒙特卡罗模拟,得到了相应的数值结果.
The mathematical model of the financial products with the pothook type on the exchange rate of agricultural bank QDII is built up by Ito formula. Under the given condition of the pothook type, the explicit expression of the model is gained. At the same time, the inverse problem is considered, and the barrier proportion parameter C is decided in the equation. At last, we adopted two kind of monte carlo methods to the original problem, and the corresponding numerical result is responsively obtained.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第19期42-48,共7页
Mathematics in Practice and Theory
基金
上海市教委重点项目(06ZZ16)
国家重点基础研究发展计划(973计划)课题(2007CB814903)
上海市科委重大科技攻关项目(075105118)资助
