Mean percentage of returns for stock market linked savings accounts

Ling Feng, Zhigang Huang and Xuerong Mao

Applied Mathematics and Computation, 2016, vol. 273, issue C, 1130-1147

Abstract: Stock market linked savings accounts have become more and more popular. The returns of these accounts are random so the returns, even the initial capital, are not guaranteed. They are very much different from the familiar fixed-term-fixed-rate savings accounts. The aim of this paper is to perform the stochastic and numerical analysis on the stock market linked savings accounts in order to establish the theory on the mean percentage of return (MPR). We will mainly perform the case studies on 5 typical plans linked to the UK Financial Times Stock Exchange (FTSE) 100 Index, but the theory developed is fully illustrated so that it can be applied to other plans by the reader.

Keywords: Stock market linked savings accounts; Stochastic differential equations; Random payoff; The FTSE 100 index; Monte Carlo simulation; Euler–Maruyama scheme (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:273:y:2016:i:c:p:1130-1147

DOI: 10.1016/j.amc.2015.09.049

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