Re: Correct classes for options on commodity futures?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Correct-classes-for-options-on-commodity-futures-tp4612p4613.html

On 03/15/2006 08:23:11 PM, Ken Anderson wrote:
> I need to generate greeks and implied volatilities for options on  
> commodity futures.  Right now, I'm using BlackScholesProcess and  
> VanillaOption.  Is that correct?  I would like to use Black-76, but  
> I'm not sure if I'm getting that this way or not...

If I'm not mistaken, you'll get the Black-76 formula if you set the  
cost of carry to 0, i.e., if you pass to the constructor of the process  
a dividend yield equal to the risk-free rate.

Later,
        Luigi


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