摘要
随着股指期货推出,股指期货的定价显得特别重要。基于无套利理论推导出的持有成本定价模型对2009年中国金融期货交易所交易的虚拟沪深300股指期货合约进行了股指期货定价实证研究,结果表明:持有成本模型有一定的准确度,尤其对于短期到期的股指期货合约(两个月)定价精确度能够达到95%。在考虑了交易成本后,发现仍然存在套利的可能性。
With the launch of stock index futures,stock index futures pricing is of particular importance.This paper use the cost of carry model to test the pricing of simulated CSI‐300 stock index future（2009） traded in China Financial Futures Exchange.The results showed that cost of carry model has a certain degree of accuracy,especially for short‐term maturity of the stock index futures contract（two months）,pricing accuracy can be achieved 95%.Taking into account transaction costs,we find there are still arbitrage possibilities.
出处
《哈尔滨商业大学学报（社会科学版）》
2010年第6期28-32,共5页
Journal of Harbin University of Commerce:Social Science Edition
