S(t) is the spot index at time t, R is the annual financing interest rate, D is the annual dividend yield, and T is the delivery time. For example, at present, the annual dividend yield of dividend-paying companies in the A-share market is about 2.6%. Assuming that the annual financing rate is 6%, according to the spot Shanghai and Shenzhen 300 Index 1224. 1 on August 7th, the reasonable price of futures for delivery on August 7th is F (August 7th, 65438+1October 7th.
The no-arbitrage interval of stock index futures contracts is calculated as follows. The basic data is assumed as above, assuming that the rate of return and market financing spread required by investors are 1%. The bilateral handling fee for futures contracts is 0.2 index points; The market impact cost is 0.2 index points; The bilateral handling fee and market impact cost of stock trading are 1%. Then converted into index points, the differential cost of lending rate is1224.1×1%×1/6 = 2.04, and the bilateral handling fee and market impact cost of stock trading are1224.1×/.
It is found that the date of 65438+10.7 means that the reasonable price of the contract is 123 1.04, so the upper bound of the arbitrage interval is1231.04+14.68 =/. The lower bound of the arbitrage interval is1231.04-14.68 =1216.36, and the no-arbitrage interval is [12 16.36]