The Pricing of Commodity Contracts

Black, F. (1976). The Pricing of Commodity Contracts.

Type

Journal article

Intellectual base

Primary research

Year

1976

ISSN

0304-405X

DOI

10.1016/0304-405x(76)90024-6

DOI registrant

Elsevier

Link

https://doi.org/10.1016/0304-405x(76)90024-6

Cited by

1 citation across 1 artifact.

Domain-specific

• Black–Scholes Model
  • Derivatives trading and risk management — the home turf, the benchmark for option pricing, the Greeks (delta, gamma, vega, theta, rho) for dynamic hedging, and implied-volatility surfaces as the market's quoting axis. Real-options valuation — treating a capital project's flexibility (the option to defer, abandon, or expand) as a contingent claim with a strike, horizon, and volatility. Employee-stock-option expensing — pricing a call for accounting recognition under standards that require fair-value measurement. Credit risk (Merton model) — treating a firm's equity as a call on its assets struck at the face value of debt, reading off a default probability. Energy and commodity derivatives — the Black-76 variant on forward prices and Bachelier where the underlying can go negative, re-deriving the same machinery for a different underlying

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