摘要
带有动态保障的投资连接基金在整个投资期间提供了一些安全保障.文章考虑了随机利率环境下,具有随机障碍水平的动态保障年金的价格.当障碍水平设为某个零息债券的函数时,可以给出具有动态保障年金的价格.
Dynamic guarantees in equity-indexed annuities provide a floor level of protection over the investment period. This article considers the price of the dynamic guaranteed funds with a stochastic barrier under stochastic interest rate environment. The explicit pricing formulas for the dynamic guaranteed funds can be obtained when the barrier is set to be a function of zero-coupon bond.
出处
《应用概率统计》
CSCD
北大核心
2013年第3期237-245,共9页
Chinese Journal of Applied Probability and Statistics
基金
The project supported by the Natural Science Foundation of Jiangsu Province(2012165)
关键词
动态保障基金
远期中性测度
Vasicek随机利率
零息债券
Dynamic guaranteed funds, forward neutral measure, Vasicek stochastic interest rates, zero-coupon bond.
