摘要
本文旨在探讨持有成本模型在中国国债期货定价方面的有效性及最便宜可交割券(CTD)的变动规律。研究结果表明,国债期货实际价格和理论价格在临近交割日时趋于一致,基差在交割日趋于0,证明了持有成本模型的有效性。同时,最便宜可交割券(CTD)主要在交易量较大的几个国债现货之间变动。上述两项发现对后续的质量期权定价研究、基差交易策略研究等具有重要意义。
The aim of this paper is to investigate the theoretical and empirical pricing of the Chinese Treasury bond futures.The difficulty is to choose the cheapest-to-delivery and to calculate the delivery option.Bond Future of TF1506 is studied to find its cheapest-todelivery using the method combined Internal Rate of Return with volume which reflects the bond liquidity.And then the theoretical and actual prices of TF1506 are compared in order to search the arbitrate opportunity.The basis trend in theory could guide the trading strategy.
出处
《华北电力大学学报（社会科学版）》
2017年第2期76-81,共6页
Journal of North China Electric Power University(Social Sciences)
基金
深圳哲学社会科学项目"基于高频数据的证券市场动力学及其应用研究"(JCYJ20140417173156101)
深圳市基础研究计划项目"基于卡尔曼滤波的期货定价系统及应用研究"(JC201005260186A)
关键词
资产定价
国债期货
最便宜可交割券
asset pricing
treasury bond futures
cheapest-to-delivery
