The Pricing Of Brockerage Collection Product Under Jump Diffusion Model

In recent years, financial product market are growing very rapidly. Currently, there are mainly funds, bank financial products and Brocker Collection Product in the domestic market.Brocker Collection Product is also known as Collection Asset Management Plan. It is issued by securities companies, a kind of financial product which is a collection of client's asset and managed by professional investors(brockers). It is financial innovation product developed by securities companies for high-level clients. Generally speaking , Brocker Collection Product refers to that the brockers invest the money which is entrusted by the investors into stocks, bonds and other financial products.On the analysis of the 3rd Dongfanghong Product, this thesis sets up a mathematical model for it ,where stock price dynamics is characterized by jump-diffusion process, and the fund is invested into zero coupon bonds and stocks, separately, by constant ratios ? and 1-? .We get the general pricing formula for the product by martingale method in stochastic interest rate framework. Explicit expressinons for the pricing formula are derived when the jump sizes are log-normal distribution or double exponential distribution.