Empirical Study On Pricing And Hedging Of Shanghai-Shenzhen 300 Stock Index Futures

Now, the research of stock index futures is a very important topic in economic field, It is very important to the stability development and innovation of the international financial market, the stock index futures of foreign countries has reached a high level after continuous testing in the real world, and the study of foreign stock index futures have achieved a lot of results.In the past, as the financial market of china has officially launched the Shanghai-Shenzhen 300 stock index futures in 2010, and a lot of problems have begun. This paper based on the principle of arbitrage free and the mathematical induction method, the holding cost pricing model of stock index futures is derived from the holding cost pricing model of gold futures. And on the basis of the Shanghai-Shenzhen 300 stock index futures price made improvements and more comprehensive research, and we have considered many factors which may affect the price of future contract.Finally, on the analysis of the state-owned enterprises hedging losses, the systematic study of china stock index futures has been done. Then, adopting the minimum variance method calculated the optimal hedge ratio and the number of hedge contracts of the stock index futures, And use the popularβcoefficient tested the Shanghai-Shenzhen 300 stock index futures. The paper has important reference value in guiding China's hedging of stock index futures.