The Pricing Of Stock Index Futures In The Imperfect Capital Markets

The pricing of the stock index futures is a hot issue in the current financial markets.Under the assumption that the markets is perfect and no-arbitrage,we usually use the cost of carry model to price the stock index futures.There is a certain deviation between the actual price of stock index futures and the price got from the cost of carry model because the capital markets is not complete in the real world. We need to research on the pricing problem of stock index futures in imperfect markets.This paper develop a pricing model of stock index futures in incomplete market with transaction costs and of which the stock index futures price volatility is not constant. We take CSI300 index futures as the research object.We analysis and simulate the prices of CSI300 index futures by the pricing model of stock index futures whose underlying stock index pay continuous dividend yield in imperfect markets. With the implied method and auto regression method to estimate the parameters in the model,we get the CSI300 index futures prices.And we use Mean Absolute Error (MAE),Average Relative Error(ARE) and the other 5 the standards to measure the accuracy of pricing. We found that the pricing effect of the futures contract IF1502 is not as good as that of the other 5 futures contract. When degree of the market imperfection is at the maximum,the pricing error of IF 1502 contract is the biggest.This paper consists of five parts.The first part is the introduction of the necessity to establish the pricing model of stock index futures in the incomplete markets. The second part reviews three typical pricing model of stock index futures in complete markets.The third part introduces a pricing model of stock index futures in incomplete market with transaction costs and of which the stock index futures price volatility is not constant.The fourth part gives an empirical analysis of 6 contracts of CSI 300 stock index futures.The fifth part makes a summary to the full text.