沪深300股指期货定价模型的改进及实证研究

Improved Pricing Model of Hushen300 Stock Index Futures and Empirical Research

根据沪深300股指期货市场的实际情况,将交易成本、冲击成本、借贷利率不等、融资融券、间断股利发放等因素纳入考虑,对克莱蒙考斯基和李无套利区间定价模型进行改进,推导出一个不完美市场下适用于沪深300股指期货定价的无套利区间定价模型。该模型克服了持有成本定价模型和隐含增长率定价模型假设条件太强的缺陷,在对11份沪深300股指期货合约日收盘价数据的实证后发现,该模型无套利区间定价模型定价效率最高。

In this paper, based on the actual condition of Hushen300 stock index futures market, considering the factors such as transaction costs, impact costs, different lending and borrowing rate, margin financing, discontinuous dividend and so on, we improve the Klemkosky and Lee＇s no--arbitrage interval pricing model and derive a no--arbitrage interval pricing model for Hushen300 stock index futures in the non--perfect market environment. The new model overcomes cost of carry model＇s and implied growth rate pricing model＇s defect that the assumptions are too strong. From the empirical research we have done on the data of Hushen300 stock index futures, we find that the pricing efficiency of no--arbitrage interval pricing model derived in this paper is the best among the three models.