%0 Journal Article
%T The Design and Pricing of a Fund with Promised Lowest Return<br>保底型基金的设计与定价
%A REN Xue-min
%A LI Shao-hua
%A <br>任学敏
%A 李少华
%J 系统工程理论与实践
%D 2005
%I 
%X 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.
%K fund
%K stochastic interest rate
%K guarantee<br>基金
%K 随机利率
%K 担保
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=3C12340B88D96D41&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=9CF7A0430CBB2DFD&sid=BC12EA701C895178&eid=D3E34374A0D77D7F&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=4&reference_num=5