Black Scholes Model



  • Widely-used Forex options pricing formula, based upon an algorithm developed in 1973 by mathematicians Fisher Black and Myron Scholes. The formula relates the value of a futures option to the price of the underlying currency. Traders following this model create a hedge by taking one position in the underlying asset while taking an opposite position (of similar value) in the currency. Also see Black-Scholes-Martin model.