What is Black 76 Model?

The Black-76 model is a pricing model for the valuation of derivative instruments such as option contracts, swaptions, bond options, and other interest rate derivatives. The black-76 model is also called as Blacks model or Black-Scholes-Merton (BSM) model.

This model is a variant of the Black-Scholes option pricing model, which can also be applied in a modified form to interest rate cap loans and other derivatives.