The Pricing Theory Of Stock Index Future And Empirical Research

After ten years of rapid development, China's security market has now reached aconsiderable scale. Since China joined the WTO, and attempted to avoid systemic riskfor institutional investors, China has launched stock index future in April, 2010. Theintroduction of stock index future creates an enabling environment for reformation ofstate-owned enterprises, and it can a?ord a relatively fair investment opportunity forsmall and medium investors, besides it can correct the spot price. Therefore, stockindex future has epoch-making signi?cance in the Chinese ?nancial history.It's well know that it's a critically fundamental problem of pricing the stock indexfuture. In this paper, the HJM forward rate model has been introduced to the studyof stock index future, and we can set up and expand the price model. We assumethat Brownian Motion W1 andW2 have the correlation coe?cientρ,and we simplifythe model with the conversion of the risk-neutral probability measure ,classical no-arbitrage-theory of the HJM and the theory of martingale pricing, and ultimately weobtain the formula under the conditions of no arbitrage. Then we consider the presenceof transaction costs , taking the upper and lower bound and obtain stock index futurearbitrage-free interval. Taking di?erent long-term interest rate models into account,we simplify expressions of price. Finally, we use the domestic empirical data of stockindex futures market, looking for arbitrage opportunities within the sample interval.