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系统工程理论与实践 2005
The Design and Pricing of a Fund with Promised Lowest Return
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Abstract:
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.