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 recent period has seen a wave of credit rating downgrades in the convertible bond market, raising concerns about credit risks associated with these bonds [1][2]. Group 1: Rating Downgrades - Multiple convertible bonds, including Baichuang Convertible Bond, Wentai Convertible Bond, and Puli Convertible Bond, have faced rating downgrades due to performance losses, debt pressures, and industry policy impacts [2]. - Baichuang Changyin's credit rating was downgraded from "A+" to "A" by Zhongzheng Pengyuan, with a stable outlook, primarily due to expected losses in 2024 and continuous losses in Q1 2025 [5][6]. - Wentai Technology's credit rating was adjusted to "AA-" by Zhongxin International, with a stable outlook, due to a decline in business diversification and expected significant revenue drops following the sale of its product integration business [8]. Group 2: Market Impact - Despite the downgrades, the overall impact on the A-share market has been limited, with most low-priced convertible bonds not showing significant fluctuations [11]. - The month of June is typically a critical window for rating changes, and while there were downgrades this year, the market did not experience the same adjustment pressures as in previous years [12]. - According to Xinyi Securities, the overall pricing of convertible bonds has improved due to rising underlying stock prices and adjustments in bond conversion rights, indicating a shift in focus from credit risk to option pricing [13][14].