22.7 Blacks model (egn 22. 1 and 22.2, p 509) c=P(O,T)IFON(d-KN(d2) p=P(0,T[KN(-d2)-FN(-d1) m(F/K)+7/2 K: strike price T: option maturity forward value of .o: volatility variable Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 22.7 Black’s Model (Eqn 22.1 and 22.2, p 509) d d T T F K T d p P T KN d F N d c P T F N d KN d = −s s + s = = − − − = − 2 1 2 0 1 2 0 1 0 1 2 ; ln( / ) / 2 (0, )[ ( ) ( )] (0, )[ ( ) ( )] • K : strike price • F0 : forward value of variable • T : option maturity • s : volatility