一种带有交易成本的保底型基金的定价

摘要

讨论了一种带有交易成本的保底型基金的定价问题．作为常见的市场利率模型Vasicek模型的推广，本文假设市场利率服从更为一般的Hull-White模型，在此基础上利用投资组合模拟基金收益和Ito公式建立数学模型，并利用PDE方法，得到了解析表达式．%This paper discusses the pricing of a fund about promised lowest return with transaction costs. The market interest rate is supposed to obey the general Hull-White Model. Based on this, the pricing model is estab-lished by replicating the pay of fund with portfolio combination and using Ito formula. By the method of PDE, the analytic expression for the model is obtained.