沪深300股指期货的定价研究.doc
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沪深300股指期货的定价研究,1万多字22页摘要 在中国，股指期货的出现改变了中国股市以往的“单边”市场交易机制，投资不仅可以“做多”而且可以“做空”，从而使其在市场下跌的行情中也能获利。股指期货作为一种新兴的金融工具，虽然在我国产生时间较晚，但随着中国金融期货交易所的成立以及沪深300仿真交易机制的出现到正式推出，它在...
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沪深300股指期货的定价研究
1万多字 22页
摘要 在中国，股指期货的出现改变了中国股市以往的“单边”市场交易机制，投资不仅可以“做多”而且可以“做空”，从而使其在市场下跌的行情中也能获利。股指期货作为一种新兴的金融工具，虽然在我国产生时间较晚，但随着中国金融期货交易所的成立以及沪深300仿真交易机制的出现到正式推出，它在我国的发展速度非常快。目前投资者关注的主要方向是怎样对股指期货定价从而进行风险对冲，这也就使得股指期货的定价成为国内外投资者和学者的研究热点。
本论文叙述了国内外研究现状，介绍了股指期货的定义、产生及发展、其基本特征及基本功能、沪深300指数以及沪深300股指期货合约内容，给出了Cornell & French的持有成本定价模型，然后选取市场上2013年11个月的所有已经交易完成的HS300股指期货合约对该模型进行实例分析，最后得出结论，中国股指期货自上市以来运行平稳，持有成本模型对于沪深300股指期货的定价是比较有效的。
关键字：股指期货 定价 持有成本模型 沪深300指数
Pricing on the CSI 300 stock index futures
Abstract In China, the emergence of stock index futures has finished China's stock market."unilateral" market trading mechanism. Investors not only can "do"but also"empty",so that they can profit even when the market declines. Stock index futures as a new financial tools, though its late produce in China, gains rapid development as the establishment of China financial futures exchange and HS300 simulation trading mechanism^ appearance to the formal launch. At present, the main direction of investors pay close attention to is how to price the stock index futures and risk hedge, thus the pricing of stock index futures becomes a hot spot for investors and scholars all around the world.
This paper describes the current research, introduced the definition of stock index futures, the generation and development, and its basic features and basic functions, the CSI 300 Index and the CSI 300 index futures contract terms, gives Cornell & French holding cost pricing model , and then select all the market in 2013 has been trading stock index futures contracts completed HS300 11 months of the model case study, and finally concluded, since China is running smoothly from the listing of stock index futures, the holding cost model for the CSI 300 Index Futures pricing is more effective.
Key words: Stock index futures pricing cost of carrying model HS300
目 录
第一章 研究背景与研究现状 4
1.1 研究背景 4
1.2 研究现状 5
第二章 相关理论与相关概念 6
2.1 股指期货的定义 6
2.2 股指期货的产生与发展历程 7
2.4 股指期货的基本功能 8
2.5 股指期货合约内容 10
2.6全球主要股指期货合约 11
2.7 沪深300指数 12
2.8沪深300股指期货合约内容介绍 13
第三章 基于沪深300股指期货定价模型的实例分析 14
3.1 股指期货定价的理论基础 14
3.2 股指期货定价模型分析 15
3.3 基于沪深300股指期货定价模型的实例分析 17
第四章 结论 21
致 谢 22
参 考 文 献 23
1万多字 22页
摘要 在中国，股指期货的出现改变了中国股市以往的“单边”市场交易机制，投资不仅可以“做多”而且可以“做空”，从而使其在市场下跌的行情中也能获利。股指期货作为一种新兴的金融工具，虽然在我国产生时间较晚，但随着中国金融期货交易所的成立以及沪深300仿真交易机制的出现到正式推出，它在我国的发展速度非常快。目前投资者关注的主要方向是怎样对股指期货定价从而进行风险对冲，这也就使得股指期货的定价成为国内外投资者和学者的研究热点。
本论文叙述了国内外研究现状，介绍了股指期货的定义、产生及发展、其基本特征及基本功能、沪深300指数以及沪深300股指期货合约内容，给出了Cornell & French的持有成本定价模型，然后选取市场上2013年11个月的所有已经交易完成的HS300股指期货合约对该模型进行实例分析，最后得出结论，中国股指期货自上市以来运行平稳，持有成本模型对于沪深300股指期货的定价是比较有效的。
关键字：股指期货 定价 持有成本模型 沪深300指数
Pricing on the CSI 300 stock index futures
Abstract In China, the emergence of stock index futures has finished China's stock market."unilateral" market trading mechanism. Investors not only can "do"but also"empty",so that they can profit even when the market declines. Stock index futures as a new financial tools, though its late produce in China, gains rapid development as the establishment of China financial futures exchange and HS300 simulation trading mechanism^ appearance to the formal launch. At present, the main direction of investors pay close attention to is how to price the stock index futures and risk hedge, thus the pricing of stock index futures becomes a hot spot for investors and scholars all around the world.
This paper describes the current research, introduced the definition of stock index futures, the generation and development, and its basic features and basic functions, the CSI 300 Index and the CSI 300 index futures contract terms, gives Cornell & French holding cost pricing model , and then select all the market in 2013 has been trading stock index futures contracts completed HS300 11 months of the model case study, and finally concluded, since China is running smoothly from the listing of stock index futures, the holding cost model for the CSI 300 Index Futures pricing is more effective.
Key words: Stock index futures pricing cost of carrying model HS300
目 录
第一章 研究背景与研究现状 4
1.1 研究背景 4
1.2 研究现状 5
第二章 相关理论与相关概念 6
2.1 股指期货的定义 6
2.2 股指期货的产生与发展历程 7
2.4 股指期货的基本功能 8
2.5 股指期货合约内容 10
2.6全球主要股指期货合约 11
2.7 沪深300指数 12
2.8沪深300股指期货合约内容介绍 13
第三章 基于沪深300股指期货定价模型的实例分析 14
3.1 股指期货定价的理论基础 14
3.2 股指期货定价模型分析 15
3.3 基于沪深300股指期货定价模型的实例分析 17
第四章 结论 21
致 谢 22
参 考 文 献 23
