Black Model

Black model is an option pricing model used in calculation of value and Greeks of vanilla call and put options where underlying is a forward contract \(F\).
The payoff of the option at the exercise time \( T \) is (with strike = \(K\)):
Call:
\( \max\left(F-K,0\right) \)
Put:
\( \max\left(K-F,0\right) \)
Straddle (Call + Put):
\( \max\left(F-K,0\right) + \max\left(K-F,0\right) \)
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Value and Greeks Implied Volatility
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