The Pricing Of Security Investment Products Under Hull-White Model

Security investment products (SIPs) are innovational investment management products offered by security companies. An investment vehicle that is made up of a pool of funds collected from many investors for the purpose of investing in securities such as stocks, bonds, money market instruments and similar assets. SIPs are operated by money managers, who invest the fund’s capital and attempt to produce capital gains and income for the investors. A SIPs’ portfolio is structured and maintained to match the investment objectives stated in its prospectus. By use of Black-Scholes model, Pricing of SIPs under Hull-White model is discussed. First, two models are built for SIPs with fixed and flexible maturity respectively. By PDE approach, the closed form solutions for these two models are obtained, The relationship of the parameters in the model are computed and analyzed. Finally a real example is discussed by the result of this paper.