Vasicek利率模型下具有随机障碍的动态保障年金的定价

摘要

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.%带有动态保障的投资连接基金在整个投资期间提供了一些安全保障.文章考虑了随机利率环境下,具有随机障碍水平的动态保障年金的价格.当障碍水平设为某个零息债券的函数时,可以给出具有动态保障年金的价格.