European Option Model on Futures
Black in 1976, developed a variant of his basic model that can be applied to compute options on futures and forward contracts.
The following demostrates the computation of futures option prices. Based on the parameters value, the call price and the put price are, $3.371 and $1.516, respectively. The delta for the call and put are 0.6212 and -0.3066, respectively.
Copyright © XL Modeling.