A Review of the Pricing of Stock Index Futures

[[abstract]]股價指數期貨的定價模式為學界及實務界所關心的課題之一。本文的目的旨在回顧有關股價指數期貨的各種相關定價理論及其實證結果。這些定價模式，基本上，係依據市場的不完美性作不同的假設所推導而得。因此，本文認為不同市場的投資人在選擇定價模式應用時，應充分地瞭解市場的特性及各種模式背後的假設。[[abstract]]The pricing of stock index futures is one of the most important issues. The purpose of this paper is to review alternative pricing models of stock index futures and their related empirical evidence. Basically, these models are built on the basis of the degree of market imperfection. Therefore, investors in different markets should understand the characteristics of the market they participated and the assumptions of models in choosing a proper model for application