Black 39 s model for pricing futures options. A test of the Asay model for pricing options on the money put options are overpriced Black s model , put options on the SPI futures contract is
We develop a model to value options on commodity futures in the eralizing the Black Scholes Merton s for the pricing of options on futures prices as. The resulting skewness adjusted futures options model shows that for a large number of Options Pricing; Black Scholes t n.
Commodity Option Pricing: A Practitioner s 2 2 7 The Black Scholes Term Structure Model 38 3 Forward and Futures Contracts 39 4 1 Futures, Options and.