基于分数Vasicek随机利率模型的保本基金定价研究

Pricing research for segregated fund under fractional Vasicek stochastic rate model

讨论了在分数金融市场环境下,与股票价格指数相关的分红保本基金的定价原理和方法,并且通过风险对冲、随机过程和偏微分方程的方法,推导出了分数Vasicek随机利率模型下与股指挂钩的分红保本基金定价公式,且给出了保本基金的显式解。

We propose the design principle and pricing method about dividend segregated fund related to stock index under the background of fractional financial market. We have the pricing formula of dividend segregated fund related to stock index under fractional Vasicek stochastic rate model, making use of risk hedging, stochastic process and partial differential equation, and obtain explicit solution finally.