Title: The Pricing Model and Its Application of Stock Index Futures In Market Friction Condition——In Case of CSI 300 Index Futures
Abstract: According to no arbitrage principle,the pricing model of stock index futures in the market friction conditions is reviewed in this article,which is applied to the stock index futures market of China,and then the arbitrage model of CSI 300 Index is established.In this model some real factors are taken into consideration,such as transaction cost and interest spread,so there is certain reference value in practice.
Publication Year: 2012
Publication Date: 2012-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot