股指期货定价新模型——【英文】WangWu——2007.pdfVIP

International Journal of Business and Economics, 2007, Vol. 6, No. 2, 121-134 An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives Chou-Wen Wang Department of Risk Management Insurance, National Kaohsiung First University of Science Technology, Taiwan * Ting-Yi Wu National Kaohsiung First University of Science Technology, Taiwan and Department of Business Administration, Kao Yuan University, Taiwan Abstract Assuming that a futures price is a function of the underlying asset and the basis, and that a Brownian bridge process drives the basis, this article provides the closed-form solution of futures with basis risk (FBR). The Brownian bridge process ensures that the basis is zero at the maturity of a futures contract. The FBR model is empirically tested with daily SP500 futures data and is found to outperform both the Cornell and French (CF, 1983a) and Yan (2002) models. The overall mean errors in terms of index points and percentages are 0.1918 and −0.002% for the FBR model, compared to −1.8806 and −0.2088% for the CF model, and 2.5072 and 0.0973% for the Yan model. Key words : futures; basis risk; Brownian bridge JEL classification : G13 1. Introduction In recent years, there has been a steady growth in the number of financial assets, which might be properly called derivative assets, which are available for trading on organized exchanges. Among these, the most notable are contracts of futures and options written on futures contracts. In the Chicago Me