Theoretical price of December stock index futures = S(t)*[1+(r-d)*(T-t)/365]

In this question, S(t)=1953.12,

r=4.8%,

d=2.75%,

The time period is from November 19 to December 19, which is exactly one month, so ( T-t)/365 can be directly replaced by 1/12

∴

Theoretical price of December stock index futures = 1953.12*[1+(4.8%-2.75%)*1/12] ≈1956.4

Then multiply 1956.4 by

One: bilateral handling fee 0.3% + stamp duty 0.1% + stock trading impact cost transaction amount 0.5%

Two : Simulation index tracking error 0.2%

Three: Lending spread cost 0.3%

Add the products of these three items and then add the bilateral handling fee of 0.2 in the turnover tax calculation question And the impact cost of buying and selling personal income tax calculation questions is 0.2, which is approximately equal to 27.8. Add and subtract this number by 1956.4 to get the arbitrage-free range of the corporate income tax calculation questions.

I will use mathematical formulas to calculate it for you again. The specific calculation formula of 27.8 is:

1956.4*(0.3%+0.1%+0.5%)+1956.4*0.2%+ 1956.4*0.3%+0.2+0.2

=17.6076+3.9128+5.8692+0.2+0.2

=27.7896

≈27.8

The final interval is (1956.4-27.8 to 1956.4+27.8)

That is the answer in the title of the poster (1928.6,

1984.2)

I hope my answer can help to you!