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Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

  • * Corresponding author: Yinghui Dong

    * Corresponding author: Yinghui Dong 

The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. This work is supported by the NSF of Jiangsu Province (Grant No. BK20170064), the NNSF of China (Grant No. 11771320), QingLan Project, the scholarship of Jiangsu Overseas Visiting Scholar Program, Suzhou Key Laboratory for Big Data and Information Service (SZS201813) and the Graduate Innovation Program (Grant No. KYCX17-2059) of Jiangsu Province of China

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