摘要
通过对股指期货定价理论基础及合理基差、现金-持有、连续复利三种定价模型研究发现,三种方法各有特点及适应性,但都注重对股息发放及到期日的调整。
Passing to study on the theoretical basis of pricing on stock index future, and three pricing models, the fair basis, the cash and carry, and the continuous compound interest. We found that three models have different characteristics and applicability, but pay attention to the payment of dividend and the adjustment of maturity.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2006年第6期12-15,共4页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
关键词
股指期货
定价模型
研究
Stock Index Future
Pricing Model
Study
