Variation of Black-Scholes option pricing model, the Black's Model is used to price bond options, swaptions, and interest rate caps and floors. This model was first presented in 1976 by Fischer Black. Also called Black-76 model.
Related information about Black's model:
- Black model - Wikipedia, the free encyclopedia
... Fischer Black in 1976. Black's model can be generalized into a class of models known as log-normal forward models, also referred to as LIBOR market model.
- Black's Model Definition | Investopedia
Black's Model is used in the application of capped variable rate loans, and is also applied to price derivatives, such as bond options and swaptions.
- BLACK'S MODEL OF INTEREST RATES AS OPTIONS ...
These authors argued that Black's model of interest rates as options has the disadvantage ... In this paper we show that, in fact, Black's model of interest rates as ...
- Black's Model: Black '76
A challenge in pricing options on commodities is non-randomness in the evolution of many commodity prices. For example, the spot price of an agricultural ...
- What is Black's model? definition and meaning
Definition of Black's model: Variation of Black-Scholes option pricing model, the Black's Model is used to price bond options, swaptions, and interest rate caps ...
- BLACK's MODEL - Montegodata.co.uk
Fischer Black was the founder of the Black's model for pricing an option on futures, it was one of the extension and generalization of the Black-Scholes ...
- introduction to black's model for interest rate derivatives - finmod.co.za
Jul 11, 2011 ... We can proceed to use Black's model without knowing any of the theory of the ... however, Black's model cannot safely be used to value more ...
- Black's model for pricing futures options - MATLAB
[Call, Put] = blkprice(ForwardPrice, Strike, Rate, Time, Volatility) uses Black's model to compute European put and call futures option prices.