I have added another model to the Models page on foquant.com. This is a variation of the original Black Scholes model, however this uses the formulas from Black’s 1976 paper, interpreted in T.W. Epps’ Pricing Derivative Securities, for pricing options on futures.

Following up on my prior post, I have uploaded another model to the Models page of foquant.com.

This model alters the prior model, as it now allows the underlying to pay a dividend. In a sense making the original model redundant, this new model will also accurately price a non-dividend-paying underlying. But, the separation of names calls attention to the differing equations.

I have added a fully functional Models page to the foquant.com website. This page will be updated frequently with new financial models as I standardize and generalize existing ones, and create others. To kick things off, I have posted the first model, Black Scholes Model No Div Yld, which is a standard BSM Model used on an underlying that does not pay a dividend. Of course, variations of this model will be uploaded, including those that accept a dividend-paying underlying. Expansions will be uploaded as well, such as one that will calculate the greeks.

Whenever a new model is uploaded, I will create a post with its name and a brief description, and will add that post to the Models category in addition to the Models page.