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In this paper, we propose a new kind of dynamic fund protection (DFP).
This paper deals with the valuation of dynamic fund protections in a Markov regime-switching environment.
Foreign direct investment is being the most dynamic fund with GDP growth higher than the national growth rate.
Moreover, we analyze the value of dynamic fund protections under a generalized regime-switching jump diffusion model.
In this context, we name our newly designed equity-linked product as chained dynamic fund protection (CDFP).
Due to the complexity of Markov regime-switching, the jump process involved, and the nonlinearity, closed-form formulas for dynamic fund protection prices are virtually impossible to obtain.
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