General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
构建了一个连续时间广义均衡模型，研究随机利率和市场波动下股指期货的定价，发现期货价格与持有成本模型预测不同，且与市场波动相关，利率敏感性随合约期限非线性变化。
We develop a closed-form general equilibrium model of stock index futures prices in a continuous-time economy with stochastic interest rates and market volatility. We show that futures prices implied by the model have very different properties from those of the cost of carry model. Using NYSE stock index futures data, we examine the restrictions imposed on futures prices by both the equilibrium and cost of carry models. Consistent with the equilibrium model, we find that stock index futures prices are related to market volatility and that their interest-rate sensitivity is a nonlinear function of contract maturity.