具有指数型保护障碍的带约束的动态保护基金的定价

Pricing a Chained Dynamic Fund Protection with Exponential Protection Level

动态基金保护可以确保投资者在投资期间内基金价格永不会低于某个障碍水平.为了减少发行人所承担的资产的下行风险,Han等(2016)提出了一个带约束的动态基金保护,产品约定只有当标的基金价值达到某个事先给定的上保护水平时才启动保护.受此启发,考虑了具有指数型上下保护水平的带约束的动态保护基金的定价.利用布朗运动的反射原理,给出了具有指数型保护水平的带约束的动态保护基金的定价公式.

Dynamic fund protection(DFP)provides a guarantee that the account value of the investor never drops below a barrier over the investment period.In order to reduce the downside risk taken by vendors,Han et al.(2016)propose a chained dynamic fund protection(CDFP),whose protection is activated only if the value of basic fund reaches predefined upper constant protection line.Motivated by them,we consider the pricing of a CDFP with exponential upper and down protection lines.By using the reflection properties of Brownian motion,present the explicit pricing formula for a CDFP with exponential protection lines.