Black model for pricing futures options
[
computes European put and call futures option prices using Black's model.Call
,Put
] = blkprice(Price
,Strike
,Rate
,Time
,Volatility
)
Note
Any input argument can be a scalar, vector, or matrix. If a scalar, then that value is used to price all options. If more than one input is a vector or matrix, then the dimensions of those non-scalar inputs must be the same.
Ensure thatRate
,Time
, andVolatility
are expressed in consistent units of time.
[1] Hull, John C.Options, Futures, and Other Derivatives.5th edition, Prentice Hall, , 2003, pp. 287–288.
[2] Black, Fischer. “The Pricing of Commodity Contracts.”Journal of Financial Economics.March 3, 1976, pp. 167–79.