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.
基金supported by the National 111 Project of China(Grant No.B17050)China Ministry of Education Project of the Humanity and Social Science Research Foundation(Grant No.19YJC790150).
