指数期货合约定价模型及其实证研究——对恒生指数期货合约定价的实证分析  

Pricing models of Stock index futures and their empirical study

作　　者：徐国祥[1] 檀向球[1] 

机构地区：[1]上海财经大学统计学系

出　　处：《统计研究》2003年第8期50-53,共4页Statistical Research

基　　金：教育部优秀青年教师资助计划项目<我国指数期货合约模式的定量研究>;国家社会科学基金项目<我国股票指数产品创新及其风险控制研究>的研究成果之一。

摘　　要：The paper deduces Stock Index Futures Pricing Models respectively under the ideal circumstance and under the restrictive circumstance and makes an empirical study on the pricing efficiency of HIS index futures.The paper deduces Stock Index Futures Pricing Models respectively under the ideal circumstance and under the restrictive circumstance and makes an empirical study on the pricing efficiency of HIS index futures.

关 键 词：指数期货合约 恒生指数 持有成本定价模型 市场限制 证券市场 

分 类 号：F830.91[经济管理—金融学]