第
29
卷
摇
第
4
期
陈晓杰
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A Study of Dynamic Valuation of Stock Index Futures
:
CHI300 Index Futures as an Example
CHEN Xiaojie
(
Fujian Provincial Development and Reform Commission
,
Fuzhou
,
Fujian 350003
,
China
)
Abstract
: Compared to the traditional Cost鄄of鄄Carry valuation model, we propose the dynamic valuation model considering
the high鄄frequency dynamic information in real markets, which is more helpful for investors to make more precise predictions in e鄄
lusive markets. Through applying 5鄄min high鄄frequency dynamic valuation model empirical analysis to trading data of continuous
contracts of CSI 300 stock index futures, we find accuracy of dynamic valuation model is expected to reach 99. 92% on average,
which is 14. 2 times of the traditional Cost鄄of鄄Carry valuation model. Moreover, the error fluctuation of dynamic valuation is ex鄄
pected to be 8. 93% of the traditional Cost鄄of鄄Carry valuation.
Key Words
: stochastic partial differential equation; high鄄frequency market information; accurate prediction
(
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王沈南
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