wilmott.com • What would be correct Vega formula for Black model's options on index futures given that we have backwardation?

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What would be correct Vega formula for Black model's options on index futures given that we have backwardation?

Posted: February 15th, 2010, 6:08 pm

by vlasov

subj

What would be correct Vega formula for Black model's options on index futures given that we have backwardation?

Posted: February 15th, 2010, 6:37 pm

by islington

? The formula only cares about the forward, so why do you care about the shape of the forward curve ?