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Shanghai And Shenzhen 300 Index Futures Contract Non Arbitrage Pricing Interval Delay Model And Empirical Analysis

Posted on:2012-05-31Degree:MasterType:Thesis
Country:ChinaCandidate:Y L GaoFull Text:PDF
GTID:2249330368476736Subject:Mathematical finance
Abstract/Summary:PDF Full Text Request
After years of planning and simulation products, the Shanghai and Shenzhen 300 stock index futures was traded, in 2010, last April 30. Under such a situation, the Shanghai and Shenzhen 300 Index futures contract pricing is particularly necessary.International scholars think that, in the actual financial market, the friction factor is ubiquitous, transaction costs such as stock index futures, stock transaction costs, futures margin and so on, so it is necessary to consider these factors to arrive at the stock index futures on arbitrage-free price limit. In this paper, trading orders and orders issued by the implementation of real time between the above bound to be lag; and then using no-arbitrage pricing of The.delay to derive the arbitrage-free interval to consider the limits pricing model; and arbitrage-free interval to delay the pricing model, a more in-depth study. The authors found that delay in considering the premise of index futures and stock index may exist between the long-term stability of the cointegration and Granger causality, and the relationship between econometrics and the market environment-related and other conclusions.Theoretical derivation is given, at the same time, taking the HS300 index futures series contract IF01, IF02... IF12, IF16,empirical analysis of price data to verify the conclusions made by the theoretical part, which describes the non-Time Delay arbitrage pricing model for our range of stock index futures market.
Keywords/Search Tags:stock index futures, arbitrage-free interval thepricing model, cointegration relations, Granger causality
PDF Full Text Request
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