Dong Yinghui, . Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(3): 237-245.
Citation: Dong Yinghui, . Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(3): 237-245.
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Pricing Dynamic Guaranteed Funds with Stochastic Barrier under Vasicek Interest Rate Model

  • Financial Engineering Research Center, Shanghai Jiao Tong University

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  • 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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