封闭式基金随机动态定价模型

The stochastic dynamic pricing model of closed-end funds

通过讨论封闭式基金净值X1、封闭式基金折价率X2和流动性不足X3对封闭式基金的市场交易价格的影响,导出了封闭式基金的市场交易价格的随机动态形式:P(X1,X2,X3,t)=exp(X1-1k(1-exp(-k(T-t)))X2-(T-t)X3+C(t)).

Discusses the relationship between the market value of closed-end funds and their net asset value X1 and their discounts X2 and the illiquidity X3.We derive a stochastic dynamic pricing model of closed-end funds： P（X1,X2,X3,t）=expX1-1 k（1-exp（-k（T-t）））X2-（T-t）X3＋C（t）.