| 封闭式基金随机动态定价模型 |
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| 引用本文： | 黄文彬,陈晓锋.封闭式基金随机动态定价模型[J].福州大学学报(自然科学版),2011,39(1):33-36. |
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| 作者姓名： | 黄文彬 陈晓锋 |
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| 作者单位： | 福州大学管理学院;福州大学数学与计算机科学学院; |
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| 基金项目： | 福建省教育厅科研资助项目(JB08021); 福州大学科技发展基金资助项目(2009-XY-19) |
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| 摘 要： | 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)).
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| 关 键 词： | 封闭式基金 随机动态定价 模型 |
The stochastic dynamic pricing model of closed-end funds |
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| HUANG Wen-bin,CHEN Xiao-feng.The stochastic dynamic pricing model of closed-end funds[J].Journal of Fuzhou University(Natural Science Edition),2011,39(1):33-36. |
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| Authors: | HUANG Wen-bin CHEN Xiao-feng |
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| Institution: | HUANG Wen-bin1,CHEN Xiao-feng2(1.College of Management,Fuzhou University,Fuzhou,Fujian 350108,China,2.College of Mathematics and Computer Science,China) |
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| Abstract: | Discusses the relationship between the market value of closed-end funds and their net asset value X1 and their discounts X2 and the illiquidity X3.We derive a stochastic dynamic pricing model of closed-end funds: P(X1,X2,X3,t)=expX1-1 k(1-exp(-k(T-t)))X2-(T-t)X3+C(t). |
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| Keywords: | closed-end funds stochastic dynamic pricing model |
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