black 76 model

rik · July 3rd, 2006, 1:43 pm

I'm interested in learn about black 76 model. Have Anyone the paper with the model?

gjlipman · July 4th, 2006, 8:00 am

The paper you are after is "The Pricing of Commodity Contracts", Journal of Financial Economics, 3 (March 1976), p167-79.I suspect you won't find it easily on the internet, but it is in some "classic papers" books that are on amazon (you might even be able to 'search inside' one).Alternatively, if you just want to understand it, Hull has a section on it "Black's Model for Valuing Futures Options".

unkpath · July 4th, 2006, 11:25 am

the paper is available on the forum here. make a search and you will find it. I do not believe that it is a useful starting point. The model is industry standard.Joshi has a good discussion and justification of why it is superior to spot BlackScholes.

gjlipman · July 4th, 2006, 2:13 pm

Unkpath, I'm not sure that I understand your comment - are you saying that it is useful (agreeing with Joshi), or that it isn't useful (disagreeing with Joshi)?

unkpath · July 4th, 2006, 8:34 pm

hi, it is the industry standard model. yes it is used all over the place.

rik · July 5th, 2006, 10:17 am

I have found black article, thanks a lot.Before see it, what is the difference between black's volatility and ather volatilities?

bskilton81 · July 5th, 2006, 1:30 pm

Isn't it true that if forward-spot parity holds, the Black Model = the Black-Scholes Model?

EM97 · September 7th, 2009, 2:52 pm

Hi, do you have the link on Joshi's discussion of why black is superior to black scholes for interest rate options? I tried searching but couldn't find it.

mj · September 8th, 2009, 9:44 am

i think they are referring to the discussion in my book