保底型基金的设计与定价  

The Design and Pricing of a Fund with Promised Lowest Return

作　　者：任学敏[1] 李少华[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《系统工程理论与实践》2005年第9期22-28,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(10171078)

摘　　要：保底型基金由于既保证最低的收益又可能获得高额的投资回报,满足了一部分投资者的需要,所以,目前在市场上很受欢迎.在无套利原理和双因子模型下,获得了保底基金设计原理和定价方法,无论基金有否担保,都可以用PDE的方法得到解析表达式.The fund with promised lowest return and possible high yield is very popular now, it satisfies the needs of some investors. In this paper, we discuss how to design and price such fund under two-factor model and no arbitrage principle. We obtain the closed-form solutions under the situations with or without guarantee by PDE approach.

关 键 词：基金 随机利率 担保 

分 类 号：O231.3[理学—运筹学与控制论]