摘要
通过推导金融期货持有成本理论的一般模型,针对持有外汇期货、利率期货和股指期货合约标的的成本的不同特点,引入外汇期货、利率期货、股指期货的定价模型,对其应用进行了分析。
Carrying-cost Theory was used in Commodity Futures. In 1970s, with the collapse of Bretton Woods Agreement, Foreign Exchange Futures, Interst Rate Futures and Stock Index Futures emerged and developped rapidly, so the Theory was extended.The paper first inferred the general Model of the Theory about Financial Futures. Second, it led to the Pricing Models about Foreign Exchange Futures, Interst Rate Futures and Stock Index Futures according to the characteristics of their carrying-cost. At the same time, the paper analyzed the application of the Pricing Models.
出处
《中南大学学报（社会科学版）》
2003年第6期781-784,共4页
Journal of Central South University：Social Sciences
关键词
持有成本理论
金融期货
外汇期货
利率期货
股指期货
市场定价
carrying-cost
financial futures
pricing
foreign exchange futures
interst rate futures
stock index futures
