| Vasicek利率模型下具有随机障碍的动态保障年金的定价 |
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| 引用本文： | 董迎辉. Vasicek利率模型下具有随机障碍的动态保障年金的定价[J]. 应用概率统计, 2013, 29(3): 237-245 |
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| 作者姓名： | 董迎辉 |
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| 作者单位： | 上海交通大学金融工程研究中心,上海,200052;苏州科技学院数理学院,苏州,215009 |
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| 摘 要： | 带有动态保障的投资连接基金在整个投资期间提供了一些安全保障.文章考虑了随机利率环境下,具有随机障碍水平的动态保障年金的价格.当障碍水平设为某个零息债券的函数时,可以给出具有动态保障年金的价格.
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| 关 键 词： | 动态保障基金 远期中性测度 Vasicek随机利率 零息债券 |
Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model |
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| DONG YINGHUI. Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model[J]. Chinese Journal of Applied Probability and Statisties, 2013, 29(3): 237-245 |
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| Authors: | DONG YINGHUI |
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| Affiliation: | Financial Engineering Research Center, Shanghai Jiao Tong University; School of Mathematics and Physics, Suzhou University of Science and Technology |
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| Abstract: | Dynamic guarantees in equity-indexedannuities provide a floor level of protection over the investmentperiod. This article considers the price of the dynamic guaranteedfunds with a stochastic barrier under stochastic interest rateenvironment. The explicit pricing formulas for the dynamicguaranteed funds can be obtained when the barrier is set to be afunction of zero-coupon bond. |
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| Keywords: | Dynamic guaranteed funds forward neutral measure Vasicek stochastic interest rates zero-coupon bond |
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