保底基金
保底基金-
在无套利原理和双因子模型下，获得了保底基金设计原理和定价方法，无论基金有否担保，都可以用PDE的方法得到解析表达式。
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 .
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保底型基金的设计与定价民间私募基金收益保底约定初探
The Design and Pricing of a Fund with Promised Lowest Return
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研究结果表明，这类产品在定价时可以看作由一个具有保底收益的投资基金与一个基于死亡赔付的欧式熊市价差期权组合（EBSOP）构成，该期权组合的价值通常不容忽视；
The results show that such kind of contract is composed with a guaranteed investment fund and a European bear spreads option package ( EBSOP ) whose value can not be ignored .