Dynamic fund protection 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)proposed...Dynamic fund protection 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)proposed a chained dynamic fund protection(CDFP),whose protection is activated only if the value of basic fund reaches a predefined upper protection line.Motivated by them,we consider a new CDFP plan under a stochastic interest rate environment.The explicit pricing formula for a CDFP is obtained when the protection lines are proportional to a zero-coupon bond.Furthermore,the authors present some numerical results for the value of CDFP at time 0 to show how the model parameters impact the value of CDFP.展开更多
基金supported by the NSF of Jiangsu Province under Grant No.BK20170064the NNSF of China under Grant No.11771320+2 种基金Qing Lan Project of Jiangsu Provincethe scholarship of Jiangsu Overseas Visiting Scholar Programthe Graduate Innovation Program of USTS(SKCX18-Y06)
文摘Dynamic fund protection 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)proposed a chained dynamic fund protection(CDFP),whose protection is activated only if the value of basic fund reaches a predefined upper protection line.Motivated by them,we consider a new CDFP plan under a stochastic interest rate environment.The explicit pricing formula for a CDFP is obtained when the protection lines are proportional to a zero-coupon bond.Furthermore,the authors present some numerical results for the value of CDFP at time 0 to show how the model parameters impact the value of CDFP.
