Vasicek利率模型下具有随机障碍的动态保障年金的定价

Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model

  • 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.

     

    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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