股指期货持有成本模型的修正与比较

Modification and comparison of cost-of-carry model of index futures

为了考虑最后结算机制对于股指期货交易行为的影响,依据随机过程理论,将现金结算机制引入股指期货定价中,构建了离散时间下的修正持有成本模型;将修正模型运用于指数套利和套期保值交易,通过比较现金结算机制引入前后交易行为的差异,发现基于修正持有成本模型的交易行为是基于传统持有成本模型的延伸,能够充分考虑结算时间窗口内的风险.因此,交易者应依据最后结算机制采用修正持有成本模型安排股指期货交易策略,而不是简单套用传统持有成本模型.

Taking the average price settlement procedure into consideration, this study constructsa time-discrete modified cost-of-carry model according to the random process theory. The application of this model to index arbitrage and heding shows that, the trading activity of index futures based on the modified cost-of-carry model is an extension of the trading activity of index futures based on the tradition model, and it sufficiently combines the risk arising from the average price settlement procedure.