﻿ 分数布朗运动环境下的资产配置策略多期收益保证价值的测算

# 分数布朗运动环境下的资产配置策略多期收益保证价值的测算Pricing Multi-Period Return Guarantees Combined with Asset Allocation Strategy under Fractional Brownian Motion

Abstract: In this paper, we consider that the price processes of risky assets are driven by fractional Brownian motion (1/2< H< 1). With the Wick-Itô integral and the quasi-conditional expectation, we compute the value of multi-period return guarantees under CM strategy and under CPPI strategy. Through the numerical simulation, the influence on the value of multi-period return guarantees under the two strategies is compared and analyzed, which is made by the periods of multi-period return guarantees and the important parameters of the financial market and asset allocation strategy.

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