沪深300指数期货价格随机利率效应研究

经典持有成本模型在非随机利率假设无法满足的条件下仅仅是远期合约而非期货的定价模型。本文采用拟合SHIBOR曲线的方法生成无风险纯折现债券模拟价格序列,对沪深300指数期货价格的随机利率效应进行了实证检验。研究结果表明,由于利率管制、股指期货市场和货币市场发展不成熟等因素的共同作用,沪深300指数期货价格中不含随机利率效应,指数远期和期货理论价格相等;如果持有成本模型其他假设条件也得到满足,则该模型可以用于沪深300指数期货定价。

A study on the effect of stochastic interest rate implied in the price of hushen 300 index futures

Classical cost of carry model is merely a pricing model for forwards but not for futures when risk-free interest rate is non-stochastic.In the paper we first simulate a series of prices of risk-free pure discount bonds by fitting SHIBOR curves.Then we use them to examine whether there exists the effect of stochastic interest rate in the price of Hushen 300 Index Futures.The result shows that it does not exist because of interest rate regulations,immature stock index futures market and currency market.It ind...