11.1  Overview

n this chapter, we introduce Black's model for valuing options on futures.  This is an important extension of the original Black-Scholes pricing model that has been applied to the problem of valuing a range of options on futures, including currency options on futures. I

Topic 11.2, A Note on Pricing Forward and Futures, introduces you to futures contracts and develops some important arbitrage relationships.  Finally, the option pricing model is developed in topic 11.3, Pricing of Options on Futures.