| 基于分数Vasicek随机利率模型的保本基金定价研究 |
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| 引用本文： | 付秀艳,刘蕾蕾,陶祥兴,黄文礼.基于分数Vasicek随机利率模型的保本基金定价研究[J].杭州应用工程技术学院学报,2013(1):1-5. |
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| 作者姓名： | 付秀艳 刘蕾蕾 陶祥兴 黄文礼 |
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| 作者单位： | [1]宁波大学理学院,浙江宁波315211 [2]中央财经大学金融学院,北京102206 [3]浙江科技学院理学院,杭州310023 |
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| 基金项目： | 国家自然科学基金资助项目（11171306） |
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| 摘 要： | 讨论了在分数金融市场环境下,与股票价格指数相关的分红保本基金的定价原理和方法,并且通过风险对冲、随机过程和偏微分方程的方法,推导出了分数Vasicek随机利率模型下与股指挂钩的分红保本基金定价公式,且给出了保本基金的显式解。
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| 关 键 词： | 保本基金 分数金融市场 风险对冲 偏微分方程 随机利率模型 |
Pricing research for segregated fund under fractional Vasicek stochastic rate model |
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| FU Xiuyan,LIU Leilei,TAO Xiangxing,HUANG Wenli.Pricing research for segregated fund under fractional Vasicek stochastic rate model[J].Journal of Hangzhou Institute of Applied Engineering,2013(1):1-5. |
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| Authors: | FU Xiuyan LIU Leilei TAO Xiangxing HUANG Wenli |
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| Affiliation: | 3 Faculty of Science, Ningbo University, Ningbo 315211, China; 2. School of Finance, Central University of Finance and Economics, Beijing 102206,China 3. School of Sciences, Zhejiang University of Science and Technology, Hangzhou 310023, China) |
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| Abstract: | We propose the design principle and pricing method about dividend segregated fund related to stock index under the background of fractional financial market. We have the pricing formula of dividend segregated fund related to stock index under fractional Vasicek stochastic rate model, making use of risk hedging, stochastic process and partial differential equation, and obtain explicit solution finally. |
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| Keywords: | segregated fund： fractional financial market： risk hedging： partial differentialequation model： stochastic rate model |
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