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Black model for pricing futures options


[Call, Put] = blkprice(Price, Strike, Rate, Time, Volatility)



Current price of the underlying asset (a futures contract).


Strike or exercise price of the futures option.


Annualized, continuously compounded, risk-free rate of return over the life of the option, expressed as a positive decimal number.


Time until expiration of the option, expressed in years. Must be greater than 0.


Annualized futures price volatility, expressed as a positive decimal number.


[Call, Put] = blkprice(ForwardPrice, Strike, Rate, Time, Volatility) uses Black's model to compute European put and call futures option prices.

Any input argument can be a scalar, vector, or matrix. When a value is a scalar, that value is used to compute the implied volatility from all options. If more than one input is a vector or matrix, the dimensions of all non-scalar inputs must be identical.

Rate, Time, and Volatility must be expressed in consistent units of time.


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This example shows how to price European futures options with exercise prices of $20 that expire in four months. Assume that the current underlying futures price is also $20 with a volatility of 25% per annum. The risk-free rate is 9% per annum.

 [Call, Put] = blkprice(20, 20, 0.09, 4/12, 0.25)
Call =


Put =


Related Examples


Hull, John C. Options, Futures, and Other Derivatives. 5th edition, Prentice Hall, , 2003, pp. 287–288.

Black, Fischer. "The Pricing of Commodity Contracts." Journal of Financial Economics. March 3, 1976, pp. 167–79.

See Also


Introduced before R2006a

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