Black Model
Calculate implied volatility, price, and sensitivity for
forwards and futures using option pricing model
The Black model is a useful tool in specific contexts where options are written on forward or futures contracts, providing a consistent and efficient method for pricing these instruments. Price and analyze equity option instruments using a Black model with the following functions:
Functions
impvbyblk | Determine implied volatility using Black option pricing model |
optstockbyblk | Price options on futures and forwards using Black option pricing model |
optstocksensbyblk | Determine option prices or sensitivities on futures and forwards using Black option pricing model |
bkcall | Price European call option on bonds using Black model |
bkput | Price European put option on bonds using Black model |
Topics
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
- Compute the Option Price on a Future
Consider a call European option on the Crude Oil Brent futures.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
