摘要
在股指期货持有成本定价模型的基础上,结合中国沪深300股指期货合约的特点,根据无套利原理,给出了考虑交易成本、期货保证金和不同借贷利率等限制条件下的股指期货定价区间和相应的交易策略,为从事沪深300股指期货套期保值、套利和投机交易的相关人员提供借鉴意义。
Based on the model of cost-of-carry pricing model of the stock index futures,combined with the features of China＇s CSI 300 stock index futures contract,under the no-arbitrage principle,the paper puts the price range and corresponding trading strategies of stock index futures under different constraints such as the transaction costs,futures margin and lending interest rates for providing reference for people who are engaged in hedging,interest arbitrage and speculation.
出处
《价值工程》
2012年第6期106-107,共2页
Value Engineering
关键词
股指期货
价格区间
模型
stock index futures
price range
model
