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Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures -- Ignore unavailable to you. Want to Upgrade?

To: Louis V. Lambrecht who wrote (2564)2/6/2003 12:09:38 PM
From: OX  Read Replies (1) | Respond to of 12411
 
hey Louis,
I said "relatively speaking" ;-) ... on the first equation... i never said the Black Model was simple

(besides, we're just talking futures contract pricing and Black is for options on futures--of course that's going to be more complex)



To: Louis V. Lambrecht who wrote (2564)2/6/2003 12:14:22 PM
From: OX  Read Replies (1) | Respond to of 12411
 
btw, that link you pointed to on Black ( agecon.uga.edu ) leaves out that one can approximate the cumulative normal density function (by using 5th order polynomials) ... tables be damned ;-)

[edit] on further inspection, i believe the formula's are a Wilcox variation of the Black model where the underlying is assumed to be normally distributed. (as per Natenberg's Option Volatility and Pricing)


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