Tag: Futures
Black Scholes for Options on Futures
by theorangedog on Jan.07, 2008, under Skills
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.
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