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Black model

The Black model (also known as the Black-76 model) is a variant of the Black–Scholes option pricing model. Its primary applications are for pricing options on future contracts, bond options, interest rate cap and floors, and swaptions. It was first presented in a paper written by Fischer Black in 1976.

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Background and relation to the Black–Scholes model

Journal of Financial EconomicsEuropean optionsFuturesCommodityShare
12 related topics

Applications

RPICPILimited price indexationBachelier model
4 related topics

The Black formula

Risk-free interest rateCumulative normal distribution functionForward contract
3 related topics

Limitations and extensions

Liquid marketsVolatility smilesSABR volatility model
3 related topics

Topics to explore

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Overview

Background and relation to the Black–Scholes model

The Black formula

Derivation and assumptions

Applications

Limitations and extensions

Advanced semantic analysis

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Map overview Semantic statistics

Black model

Nodes37
Edges36
Triples43
Avg. degree1.95
Density0.054054
Components1

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Black model

Top relations

related to background · 8
Black model → Black, European, Financial Economics, In, Journal, Scholes, The, The Black
related to External links · 7
Black model → Austin, Black Model Dr, Caps, Discussion Bond Options, Milica Cudina, Texas, University
see also · 6
Black model → Black, Financial, Options, ScholesDescription, Valuation, ValuationFutures
related to Futures and commodity options · 5
Black model → Black, Examples, Exchanges, In, Volatility
related to The Black formula · 5
Black model → Black, European, Let, The, Under
has application · 1
Black model → The Black

Important terminology Word statistics

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Important terminology

black futures forward model rate displaystyle option options price volatility cap swaptions formula pricing interest log-normal normal floor payoff scholes

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
RPI swapsinstance ofThese guarantees can be valued or hedged using inflation derivatives0.80text
inflation capsinstance ofThese guarantees can be valued or hedged using inflation derivatives0.80text
floors.For a single year let Iinstance ofThese guarantees can be valued or hedged using inflation derivatives0.80text
the Bachelier modelinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
which allows the underlying rate to take negative values.Local volatilityinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
stochastic volatility modelsinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
including the SABR volatility modelinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
are used to fit observed capinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
swaption volatility smilesinstance ofpractitioners often use shifted log-normal models or adopt a normal model0.80text
the LIBOR market model specify joint dynamics for a family of forward ratesinstance ofMulti-factor term structure models0.80text
are calibrated so that their prices match the Black or normal implied volatilities quoted in the marketinstance ofMulti-factor term structure models0.80text
Black modelhas applicationThe Black0.60section

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    Min side: 3
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