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black 76 model
Posted: July 3rd, 2006, 1:43 pm
by rik
I'm interested in learn about black 76 model. Have Anyone the paper with the model?
black 76 model
Posted: July 4th, 2006, 8:00 am
by gjlipman
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".
black 76 model
Posted: July 4th, 2006, 11:25 am
by unkpath
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.
black 76 model
Posted: July 4th, 2006, 2:13 pm
by gjlipman
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)?
black 76 model
Posted: July 4th, 2006, 8:34 pm
by unkpath
hi, it is the industry standard model. yes it is used all over the place.
black 76 model
Posted: July 5th, 2006, 10:17 am
by rik
I have found black article, thanks a lot.Before see it, what is the difference between black's volatility and ather volatilities?
black 76 model
Posted: July 5th, 2006, 1:30 pm
by bskilton81
Isn't it true that if forward-spot parity holds, the Black Model = the Black-Scholes Model?
black 76 model
Posted: September 7th, 2009, 2:52 pm
by EM97
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.
black 76 model
Posted: September 8th, 2009, 9:44 am
by mj
i think they are referring to the discussion in my book