Valuation models

Black-76

Price, implied volatility and Greeks to the forward.

Inputs

Results

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Methodology

Conventions

  • Lognormal forward; payoff discounted from expiry on the chosen curve.
  • Greeks to the forward.

References

  • Hull, Options, Futures, and Other Derivatives, ch. 18 and 29

Formulas

Call
C = D [F N(d1) − K N(d2)]
d1
d1 = [ln(F/K) + σ²T/2] / σ√T