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| 文章编号：1672-3104(2003)06-0781-04 |
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持有成本理论模型在金融期货定价中的应用 |
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罗孝玲, 李一智, 饶红浩 |
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（中南大学商学院 , 湖南长沙， 410083） |
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| 摘 要： 通过推导金融期货持有成本理论的一般模型，针对持有外汇期货、利率期货和股指期货合约标的的成本的不同特点，引入外汇期货、利率期货、股指期货的定价模型，对其应用进行了分析。 |
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| 关键词： 持有成本; 金融期货; 定价； 外汇期货; 利率期货; 股指期货 |
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The application of carrycost theory to
the pricing of financial futures |
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LUO Xiao-ling, LI Yi-zhi, RAO Hong-hao |
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（School of Business, Central South University, Changsha 410083, China） |
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| Abstract: Carryingcost Theory was used in Commodity Futures. In 1970s, with the collapse of Bretton Woods Agreement, Foreign Exchange Futures, Interst Rate Futures and Stock Index Futures emerged and developped rapidly, so the Theory was extended.The paper first inferred the general Model of the Theory about Financial Futures. Second, it led to the Pricing Models about Foreign Exchange Futures, Interst Rate Futures and Stock Index Futures according to the characteristics of their carryingcost. At the same time, the paper analyzed the application of the Pricing Models. |
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Key words: carryingcost; financial futures; pricing; foreign exchange futures; interst rate futures; stock index futures |
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