Ӧ�ø���ͳ�� 2013, 29(3) 237-245 DOI:      ISSN: 1001-4268 CN: 31-1256

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Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model
Dong Yinghui
Financial Engineering Research Center, Shanghai Jiao Tong University; School of Mathematics and Physics, Suzhou University of Science and Technology
Abstract:

Dynamic guarantees in equity-indexed
annuities provide a floor level of protection over the investment
period. This article considers the price of the dynamic guaranteed
funds with a stochastic barrier under stochastic interest rate
environment. The explicit pricing formulas for the dynamic
guaranteed funds can be obtained when the barrier is set to be a
function of zero-coupon bond.

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