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Pricing a Chained Dynamic Fund Protection Under Vasicek Interest Rate Model with Stochastic Barrier 被引量:1
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作者 DONG Yinghui XU Chao WU Sang 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2019年第6期1659-1674,共16页
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
关键词 Chained dynamic fund protect ion reflection principle stochastic protection Vasicek interest rate zero-coupon bond.
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