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.