The spot price of stock index futures was quoted by the Shanghai and Shenzhen 300 Index at that time. For example, the original title in the futures investment analysis exam: Now the Shanghai and Shenzhen 300 Index is 3300, and investors use the Shanghai and Shenzhen 300 stock index futures contracts that expire three months later to carry out spot arbitrage. According to the simple interest calculation, the risk-free annual interest rate is 5%, the annual dividend yield is 1%, and the arbitrage cost is 20 index points. The no-arbitrage interval of stock index futures contracts is:

The forward pricing formula of assets with known cash income is:

F theory = s * e (r-d) t = 3300e [(5%-1%) * 3/12] = 3333.

No arbitrage interval =[F theory-arbitrage cost, F theory+arbitrage cost]

=[3333-20,3333+20]

=[33 13, 3353]