Module black_76 

Black-76 pricing for European options on futures contracts.

Black-76 is the forward-price variant of Black-Scholes, used for options whose underlying is a futures contract. It is mathematically equivalent to running Black-Scholes with spot = forward and r = 0, then discounting the result by e^(-r * tau).

Functions

black_76_implied_vol

Solve for implied volatility under Black-76, given an observed market price. Returns None when the price violates no-arbitrage bounds or the solver fails to converge.

black_76_price

Price a European option on a futures contract under Black-76.

calculate_implied_volatility 🔒