数学所周五学术报告—Pricing of Stock Index Futures under Trading Restrictions
主 题: 数学所周五学术报告—Pricing of Stock Index Futures under Trading Restrictions
报告人: 胡建强 教授 (复旦大学)
时 间: 2017-06-09 15:00-16:00
地 点: 理科1号楼1114
Abstract: Under the assumption of no arbitrage opportunities, the price of stock index futures should be equal to the spot price of the corresponding stock index, excluding capital costs, dividends, and trading costs. However, since the introduction of stock index futures in Chinese stock markets in 2010, the prices of stock index futures have consistently deviated from their theoretical values in a very significant way, especially in recent years.
By using an equilibrium model, we show that this deviation may be due to various trading restrictions (including short-sell restriction and margin requirements).