支持对全风险、多场景下金融产品的估值与风险管理 早期，由于缺乏有效的定价工具，期权交易在很大程度上依赖交易者的经验与直觉。直到20世纪70年代，布莱克 （Black）、斯科尔斯（Scholes）和默顿（Merton）等人开创性地提出了布莱克-斯科尔斯模型，才为期权定价带 来了革命性的突破。该模型凭借精妙的数学推导与对市场的合理假设，在学术界与实务界获得了广泛认可。 | | 将期权的有效期划分为多个等长的时间区间,通 | | --- | --- | | 1. 离散时间框架 | 常用n表示区间数量,每个区间的时间长度为△ | | | t=T/n,其中T为期权的有效期。 | | 2. 标的资产价格的二项式变动 | 在每个时间区间内,标的资产价格只能以一定的 | | | 概率上升或下降。假设在第1个时间区间开始时, | | | 标的资产价格为S,那么在该区间结束时,价格有 | | | 两种可能:上升到uS(u>1为上升因子),或者下 | | | 降到dS(0<d<1为下降因子)。 | | 3. 无套利机会 | 市场是有效的,不存在无风险套利的可能。 | | 4. 无风险利率但定 | 在期权的有效期内,无风险利率r保持 ...

Core Viewpoint - The China Securities Regulatory Commission has approved the registration of futures and options for coated printing paper on the Shanghai Futures Exchange, with trading set to commence on September 10, 2025 [1]. Group 1: Listing Details - The coated printing paper options will begin trading at 21:00 on September 10, 2025, with a pre-opening auction from 20:55 to 21:00 [1]. - The first listed option contracts will be OP2601 and OP2602 [3]. Group 2: Trading Hours - Trading will occur from Monday to Friday, with specific time slots: 9:00-10:15, 10:30-11:30, and 13:30-15:00, along with continuous trading from 21:00 to 23:00 [2]. Group 3: Contract Specifications - The minimum holding threshold for the underlying futures in the options contract is set at 5,000 lots (one-sided) [4]. - The base price for the options will be announced by the exchange on the trading day prior to listing, calculated using a binomial option pricing model [5]. Group 4: Trading Limits and Management - The maximum order quantity per transaction is limited to 100 lots [6]. - Position limits for options and futures contracts will be managed separately, with specific limits for different types of options [8]. - The hedging trading position limits will be shared between the coated printing paper options and futures [9]. Group 5: Inquiry and Fees - Non-futures company members and clients can inquire about all listed options contracts, with specific conditions on the inquiry process [10]. - Fees will be charged according to the agreed standards at the time of account opening, with additional charges as per exchange regulations [11].

Core Viewpoint - The Shanghai Futures Exchange has received approval from the China Securities Regulatory Commission to launch trading of casting aluminum alloy futures and options, with the options set to begin trading on June 10, 2025 [1]. Group 1: Listing Details - The casting aluminum alloy options will start trading at 21:00 on June 10, 2025, with a pre-opening auction from 20:55 to 21:00 [1]. - The trading hours will be Monday to Friday from 9:00 to 10:15, 10:30 to 11:30, and 13:30 to 15:00, with continuous trading from 21:00 to 01:00 the next day [2]. Group 2: Contract Specifications - The first listed options contracts will be AD2511 and AD2512, with a minimum holding threshold of 10,000 contracts for the underlying futures [3]. - The benchmark price for the options will be announced by the exchange on the trading day prior to listing, calculated using a binomial option pricing model [4]. Group 3: Trading Regulations - The maximum order size per transaction is set at 100 contracts [5]. - The options will be American-style, allowing for exercise at any time before expiration [6]. Group 4: Position Limits and Management - Position limits for options and futures contracts will be managed separately, with specific limits for non-futures company members and clients [7]. - The options and futures will share the approved hedging trading positions [8]. Group 5: Fees and Charges - The trading fee is set at 10 yuan per contract, with a temporary waiver for closing positions until December 31, 2025, for hedging transactions [9]. - The exercise fee is also 10 yuan per contract, with specific fees for hedging transactions outlined [10]. Group 6: Inquiry and Trading Permissions - Non-futures company members and clients can inquire about prices on all listed options contracts, with specific conditions on the timing of inquiries [12]. - Futures company members must adhere to the suitability management requirements for traders when applying for options trading permissions [13].