证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2011年
3期
45~49
,共null页
沪深300股指期货 持有成本模型 随机利率效应
滬深300股指期貨 持有成本模型 隨機利率效應
호심300고지기화 지유성본모형 수궤리솔효응
Hushen 300 Index Futures; Cost of Carry Model; Effect of Stochastic Interest Rate
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。
經典持有成本模型在非隨機利率假設無法滿足的條件下僅僅是遠期閤約而非期貨的定價模型。本文採用擬閤SHIBOR麯線的方法生成無風險純摺現債券模擬價格序列,對滬深300指數期貨價格的隨機利率效應進行瞭實證檢驗。研究結果錶明,由于利率管製、股指期貨市場和貨幣市場髮展不成熟等因素的共同作用,滬深300指數期貨價格中不含隨機利率效應,指數遠期和期貨理論價格相等;如果持有成本模型其他假設條件也得到滿足,則該模型可以用于滬深300指數期貨定價。
경전지유성본모형재비수궤리솔가설무법만족적조건하부부시원기합약이비기화적정개모형。본문채용의합SHIBOR곡선적방법생성무풍험순절현채권모의개격서렬,대호심300지수기화개격적수궤리솔효응진행료실증검험。연구결과표명,유우리솔관제、고지기화시장화화폐시장발전불성숙등인소적공동작용,호심300지수기화개격중불함수궤리솔효응,지수원기화기화이론개격상등;여과지유성본모형기타가설조건야득도만족,칙해모형가이용우호심300지수기화정개。
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 indicates that the cost of carry model can be used to price Hushen 300 Index Futures if other assumptions are all satisfied as well.
