Overview - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Black-76 models the dynamics of a financial market containing derivative investment instruments.

In the specific case of pricing Commodities Options, the Black-76 (B76) model has a closed-form solution for the price and the associated ‘Greeks’ which measure the sensitivity of the price to changes in the parameter. The availability of such a solution means that the results can be found by direct evaluation rather than, for example, a Monte-Carlo simulation or otherwise. This allows for considerably greater throughput and the possibility to produce multiple results on every clock cycle by evaluating the equations in parallel.

The closed-form equations for the price and associated Greeks can be found online (see for example https://en.wikipedia.org/wiki/Black_model) and will not be reproduced here.