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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