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author:

黄文彬 (黄文彬.) [1] | 陈晓锋 (陈晓锋.) [2]

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CQVIP PKU CSCD

Abstract:

通过讨论封闭式基金净值X1、封闭式基金折价率X2和流动性不足X3对封闭式基金的市场交易价格的影响,导出了封闭式基金的市场交易价格的随机动态形式:P(X1,X2,X3,t)=exp(X1-1k(1-exp(-k(T-t)))X2-(T-t)X3+C(t)).

Keyword:

封闭式基金 模型 随机动态定价

Community:

  • [ 1 ] 福州大学管理学院,福建福州350108
  • [ 2 ] 福州大学数学与计算机科学学院,福建福州350108

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Source :

福州大学学报:自然科学版

ISSN: 1000-2243

CN: 35-1337/N

Year: 2011

Issue: 1

Volume: 39

Page: 33-36

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count: -1

30 Days PV: 0

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