WebCab Options and Futures for COM v3.1

OptionsOnFutures Class

Evaluation of the price and Greeks (delta, gamma, vega, theta, rho) of a European call or put option on a futures contract in accordance with Black-76 model.

For a list of all members of this type, see OptionsOnFutures Members.

System.Object
   OptionsOnFutures

public class OptionsOnFutures

Remarks

Remark The distinct advantage of Black's model (over the Black-Scholes model) is that it does not need to assume that the option contract and the futures contract have the same maturity.

Further Reading

  1. F.Black, ``The Pricing of Commodity Contracts'', Journal of Financial Economics, 3( March 1976), p167-179
  2. John Hull, ``Options, Futures and other Derivatives'', 5th Edition, p287-288

Requirements

Namespace: WebCab.COM.Finance.Options

Assembly: WebCab.COM.Options (in WebCab.COM.Options.dll)

See Also

OptionsOnFutures Members | WebCab.COM.Finance.Options Namespace