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Questions tagged [black76]

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39 questions
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I am trying to price american options on commodity futures by simulation - with the inclusion of a stochastic liquidity variable which affects both the drift and diffusion. My main question is: I have ...
Muaaz Kasker's user avatar
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I would like to clarify the difference between the spot delta and forward delta. This question is related to this post: Use of cash delta vs forward delta and the mirror image rule. From the put call ...
Mr.Gamma's user avatar
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I am trying to value options on NIFTY 50 index which are expiring on 16th Jan 15:30 IST (valuation datetime will be 10th Jan 18:17:41 IST). this is a personal application/code on laptop, not ...
Himalayan Organics's user avatar
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I am struggling with application of Jamshidian's trick to the Black-76 model for bond options. I made a simple example to demonstrate my problem. I value the european put bond option at 95 on the 2Y ...
Sentinel's user avatar
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3 votes
1 answer
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Below is my attempted derivation of the Black76 formula to price a $K$-strike forward option where upon option expiry $T_1$, the holder has the right to enter into a $K$-delivery $T_2$-maturity ...
Cyclopropane's user avatar
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Consider an ATM caplet with maturity $T$ and delivery $T+\tau$. In the book Interest Rate Models (Brigo and Mercurio), page 81, the authors define the model caplet volatility as the unique value of $\...
Pedro's user avatar
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1 vote
2 answers
301 views

Suppose an European embedded option zero coupon bond with par value $L$, strike price $X$, the maturities for embeded option and bond are $T_o$ and $T_b$, $T_o<T_b$, respectively. If we assume that ...
Stephen Ge's user avatar
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1 answer
258 views

I've been looking at option chains on websites for some popular exchanges (NSE, etc). The exchanges usually provide an implied volatility column in their data, where they're presumably calculating the ...
Featherball's user avatar
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2 answers
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I coded the Black formula (1976) to price a call where the underlying is a forward. I tested it against other sources and it works fine. I then calculated the delta which, from my derivation and what ...
DeltaVanna's user avatar
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1 answer
438 views

Under certain conditions, the option price of the CRR (Cox-Ross-Rubinstein) Binomial model converges to the Black-Scholes price as the maximal step size of the partition converges to zero (i.e. a ...
Kapes Mate's user avatar
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380 views

How are SOFR implied vols calculated? Are they normal or log normal? When we are pricing options with black-76 model, implied volatility must be log-normal as black model assumes log normal ...
Rajat Shubhra Biswas's user avatar
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I find the formula of RHO using Black76 model (Source, alternatively see Wikipedia and scroll to "Under the Black model"): $$ RHO_{call} = -t*c $$ $$RHO_{put} = -t*p$$ which means the sign ...
Hester S's user avatar
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I understand that implied volatility is the expected volatility of an underlying contract in the Black option pricing model. This is easy to interpret for assets delivered at a point in time. But how ...
CasusBelli's user avatar
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I'm using VCUB on Bloomberg for ATM cap volatilities and have noticed there are a few "flavors" of volatilities. I would like simply use ATM flat vols to bootstrap forward volatilities from ...
Carp's user avatar
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1 answer
540 views

When using the Black 76 model for pricing European index options I've often seen people use 2 different rates: the typical risk free rate used to get the discount factor, and a growth rate used to get ...
Kevin K.'s user avatar
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