| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 104 === In this thesis we discuss how the interest rate risk and jump diffusion risk effect the value of dynamic guaranteed fund. We assume the dynamic underlying of the guaranteed fund follows a double exponential jump process and stochastic interest rate process follows Vasicek model. We then derive the dynamic guaranteed fund’s pricing formula, and use Laplace transform to obtain closed-form solution. Finally, in order to calculate more efficiently, we apply Gaver-Stehfest algorithm to Laplace inverse to obtain dynamic guaranteed fund values. We also provide numerical results. We analyze the different results with different jump-related parameters and interest rate-related parameters. We find that both of the interest rate risk and jump risk can significantly affect the value of dynamic guaranteed funds.
Key Words: Dynamic Guaranteed Fund, Vasicek Model, Double Exponential Jump, Laplace Transform, Gaver-Stehfest Algorithm
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