11.1 Overview
11.1 Overview
In this chapter, we
introduce Black's model for valuing options on futures.
This is an important extension of the original Black-Scholes pricing
model that has been applied to the problem of valuing a range of options on
futures, including currency options on futures.
Topic 11.2, A
Note on Pricing Forward and Futures, introduces you to futures contracts and
develops some important arbitrage relationships.
Finally, the option pricing model is developed in topic 11.3, Pricing
of Options on Futures.
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Financial Trading System