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Black's Model

2020-08-14 18:31 浏览:455
A variation of the Black-Scholes model that allows for the valuation of options on futures contracts.

In 1976, Fisher Black, one of the developers of the Black-Scholes model (introduced in 1973), demonstrated how the Black-Scholes model could be modified in order to value European call or put options on futures contracts.



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