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价格向下跳跃是引致CPPI策略收益保证缺口风险的主要因素之一,对CPPI策略收益保证价值贴近实际的测算必须考虑价格跳跃因素的影响.本文对风险资产价格服从对数正态跳跃扩散过程情形下CPPI策略多期收益保证的价值进行测算.文章给出了固定混合策略下多期收益保证价值封闭形式的测算公式.数值分析的结果表明:1)当风险资产价格服从几何布朗运动时,CPPI策略多期收益保证的价值为0,且模型参数的变动对该结论无影响;2)当风险资产价格服从对数正态跳跃扩散过程时,CPPI策略多期收益保证的价值与CPPI策略的乘数、收益保证水平以及风险资产价格的波动率正相关.
The downward price jump is one of the main factors that lead to the gap risk of CPPI strategy yield guarantee, and the actual measurement of the CPPI strategy return guarantee value must consider the impact of price jump factors.In this paper, the risk asset prices subject to the logarithmic normal jump diffusion process Under the fixed mixed strategy, the formula of the closed form of the multi-period proceeds guarantee value is given.The results of the numerical analysis show that: 1) When the risk asset price follows the geometric Brownian motion, the CPPI The value of policy multi-period revenue guarantee is 0, and the change of model parameters has no effect on this conclusion; 2) When the risk asset price follows the process of log-normal jump diffusion, the value of multi-period revenue guarantee of CPPI strategy and the multiplication of CPPI strategy The level of yield assurance and the volatility of the price of risky assets are positively correlated.