Black's Model

Black's Model

A variation of the Black-Scholes model that allows for the valuation of options on futures contracts.

Notes:

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.

See also: Black-Scholes Model, Futures Contract