The aims of this article is modeling of options of futrres pricing and analyzing the sensitivity with respect to the variables in the models.
In this paper we derived Black's formula using an approach first suggested by Cox and Ross in 1975, and appl...
The aims of this article is modeling of options of futrres pricing and analyzing the sensitivity with respect to the variables in the models.
In this paper we derived Black's formula using an approach first suggested by Cox and Ross in 1975, and applied to Black and Scholes model. we explain he financial intuition behind the different equations. Then using sensitivity analysis are find the derivatives of the options pricing formulas with respect to the variables in the formulas. This analysis helps to illustiate the intuition behind the theoretical result, the intuition behind the theoretical result, and the appeicability of the formulas in trading commodity options.
A simulation analysis is used to generate tables and diagrams.