基于不确定理论的结构性人民币存款产品的定价

doi:10.3969/j.issn.1005-3085.2024.05.010

Chinese Journal of Engineering Mathematics ›› 2024, Vol. 41 ›› Issue (5): 931-946.doi: 10.3969/j.issn.1005-3085.2024.05.010

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Pricing of Structured RMB Deposit Products Based on Uncertainty Theory

LV Guiwen¹, XU Ping^1,2, ZHANG Yanxue^1,3

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).

Abstract

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

CLC Number:

LV Guiwen, XU Ping, ZHANG Yanxue. Pricing of Structured RMB Deposit Products Based on Uncertainty Theory[J]. Chinese Journal of Engineering Mathematics, 2024, 41(5): 931-946.

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Pricing of Structured RMB Deposit Products Based on Uncertainty Theory

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