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股指期货是以股票指数为标的资产的标准化期货合约。通过历史得知,在股指期货推出初期,有着大量套利机会。结合我国实际情况,通过持有成本定价模型,能够寻找处在不完美市场情况下对沪深300指数期货进行期现套利的可能,并对现货的构建以及指数的模拟做出了分析。
Stock index futures is a standardized futures contract based on the stock index. According to history, in the early days after the introduction of stock index futures, there was a great deal of arbitrage opportunities. According to the actual situation in our country, through the holding cost pricing model, we can find the possible arbitrage of the CSI 300 futures in an imperfect market and analyze the construction of the spot and the simulation of the index.