Stock index futures pricing by no - arbitrage theory and an actual no - arbitrage mathematical model of stock index futures was given in this dissertation , arbitrager should find out whether there are some opportunities according to their arbitrage cost . to get a maximal income they should use transformative arbitrage strategy flexibly which was given in the dissertation 本文基于无套利理论对股票指数期货进行定价，给出了股票指数期货实际的无套利数学模型，根据该模型可得出:套利者应该根据自身的套利成本判断是否有套利机会，在进行套利交易时应该灵活地运用本文给出的套利交易的变形策略，使套利交易收益更高。
