福州大学学报（自然科学版）2011，Vol.39Issue(1)：33-36,4.DOI:CNKI:35-1117/N.20110120.1712.005
封闭式基金随机动态定价模型
The stochastic dynamic pricing model of closed -end funds
摘要
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) = exp (X1 -1/k-(1 -exp(-k(T-t)))X2 -(T-t)Xs +C(t) ).关键词
封闭式基金/随机动态定价/模型Key words
closed - end funds/ stochastic dynamic pricing/ model分类
数理科学引用本文复制引用
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):33-36,4.基金项目
福建省教育厅科研资助项目(JB08021) （JB08021）
福州大学科技发展基金资助项目(2009-XY-19) （2009-XY-19）
