22.6 Black's model its extensions (continued The mean of the probability distribution is the forward value of the variable The standard deviation of the probability distribution of the log of the variable is G√T Where o is the volatility The expected payoff is discounted at the T-maturity rate observed today Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 22.6 Black’s Model & Its Extensions (continued) • The mean of the probability distribution is the forward value of the variable • The standard deviation of the probability distribution of the log of the variable is where s is the volatility • The expected payoff is discounted at the T-maturity rate observed today s T