Re: Quantlib methods for option pricing

Posted by Gouthaman Balaraman on Dec 17, 2015; 10:33pm
URL: http://quantlib.414.s1.nabble.com/Quantlib-methods-for-option-pricing-tp17019p17184.html

Chandu

I am not sure if you had a resolution to your question. Some remarks on your question:

Since the option you have is a European Call, you don't need binomial tree at all. Secondly, this is an option on commodity futures contract. This is usually priced using the Black formula (slightly different from the Black-Scholes formula). This can easily be done using the BlackCalculator.

I added your example case to my post on valuing options on commodity futures. You will see the values are close enough to what you have (except for some scaling in the greeks):

Option Price        : 0.0789
Delta               : 0.2347
Gamma               : 0.4822
Theta               : -0.3711
Vega                : 0.4600
Rho                 : 0.1597

Hope this helps.

Goutham