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本文依据无套利原则针对股指期货和股票交易中买卖双方交易成本差异、存贷款利率差异及保证金等因素影响下的不完美市场,建立股指期货的区间定价模型。模型一是全面考虑了股指期货和股票市场中的交易手续费、印花税、佣金等交易各项费用,并将现金股利和保证金参数引入定价模型,提高了定价的准确性;二是直接用比率指标计算股指期货的定价区间,解决了现有模型中绝对指标需要进一步换算的不足。
According to the principle of no arbitrage, this paper establishes an interval pricing model for stock index futures based on the imperfect market under the influence of transaction cost differences between stock buyers and sellers, deposit and loan interest rate differences and margin. The first model fully considers transaction fees, stamp duty, commissions and other transactions in the stock index futures and stock markets, and introduces the cash dividend and margin parameters into the pricing model to improve the pricing accuracy. Second, the direct use of the ratio indicator The calculation of the price range of stock index futures, to solve the existing model, the absolute index needs to be further converted deficiencies.