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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2024, Vol. 41 ›› Issue (5): 931-946.doi: 10.3969/j.issn.1005-3085.2024.05.010

• • 上一篇    下一篇

基于不确定理论的结构性人民币存款产品的定价

吕桂稳1,   徐  萍1,2,   张彦学1,3   

  1. 1. 石家庄铁道大学数理系，石家庄 050043
    2. 天津市梧桐中学，天津 300221
    3. 石家庄经济职业学院会计系，石家庄 050081
  • 收稿日期:2022-03-12 接受日期:2022-09-13 出版日期:2024-10-15
  • 通讯作者: 徐萍 E-mail: xpxzh126@163.com
  • 基金资助:
    河北省高等学校科学技术研究项目 (ZD2019047).

Pricing of Structured RMB Deposit Products Based on Uncertainty Theory

LV Guiwen1,   XU Ping1,2,   ZHANG Yanxue1,3   

  1. 1. Department of Mathematics and Physics, Shijiazhuang Tiedao University, Shijiazhuang 050043
    2. Tianjin Wutong Middle School, Tianjin 300221
    3. Department of Accounting,  Shijiazhuang Vocational College of Economics, Shijiazhuang 050081
  • Received:2022-03-12 Accepted:2022-09-13 Online:2024-10-15
  • Contact: P. Xu. E-mail address: xpxzh126@163.com
  • Supported by:
    The Science and Technology Research Project of Colleges and Universities in Hebei Province (ZD2019047).

摘要：

结构性人民币存款产品和人民币存款不同。它是一种能使投资者在承担一定风险的基础上，获得比人民币存款更高收益的金融产品。在不确定理论的框架下，分别对无收益率上限的保本型股票指数挂钩结构性人民币存款产品与股票指数挂钩结构性人民币存款产品进行定价，并给出了相应的数值例子。最后，应用Matlab软件对这两种金融产品进行了风险分析，为投资者购买该类产品提供了合理的建议。

关键词: 不确定理论, 不确定微分方程, 不确定金融, 结构性人民币存款产品

Abstract:

Different from RMB deposit, structured RMB deposit is a financial product that enables investors to obtain higher returns than RMB deposit based on taking certain risks. Under the framework of uncertainty theory, this paper deals with the pricing of break-even stock index-linked structured RMB deposit products without a yield ceiling and stock index-linked structured RMB deposit products, and gives corresponding numerical examples. Finally, Matlab software is used to analyze the risks of these two financial products and provide reasonable suggestions for investors of these products.

Key words: uncertainty theory, uncertain differential equations, uncertain finance, structured RMB deposit products

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