| 一种带有交易成本的保底型基金的定价 |
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| 引用本文： | 朱海燕,张寄洲. 一种带有交易成本的保底型基金的定价[J]. 淮阴师范学院学报(自然科学版), 2012, 0(3): 235-240 |
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| 作者姓名： | 朱海燕 张寄洲 |
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| 作者单位： | 连云港师范高等专科学校;上海师范大学数理学院 |
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| 摘 要： | 讨论了一种带有交易成本的保底型基金的定价问题.作为常见的市场利率模型Va-sicek模型的推广,本文假设市场利率服从更为一般的Hul-l White模型,在此基础上利用投资组合模拟基金收益和It公式建立数学模型,并利用PDE方法,得到了解析表达式.
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| 关 键 词： | 交易成本 随机利率 Hul-lWhite模型 |
The Pricing of a Fund about Promised Lowest Return with Transaction Costs |
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| Affiliation: | ZHU Hai-yan1,ZHNAG Ji-zhou2(1.Department of Mathematics and Applied Mathematics,Lianyungang Teachers College,Lianyungang Jiangsu 222006,China)(2.College of Mathematics and Sciences,Shanghai Normal University,Shanghai 200234,China) |
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| Abstract: | This paper discusses the pricing of a fund about promised lowest return with transaction costs.The market interest rate is supposed to obey the general Hull-White Model.Based on this,the pricing model is established by replicating the pay of fund with portfolio combination and using It formula.By the method of PDE,the analytic expression for the model is obtained. |
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| Keywords: | transaction costs stochastic interest rate hull-white model |
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