European Options Pricing Model-Online Calculator

Black–Scholes model is a celebrated option pricing model used in financial markets. It was published by Fischer Black, Myron Scholes, and Robert Merton. Scholes and Merton received the 1997 Nobel Memorial Prize in Economic Sciences for their work (Black died before the prize announcement). The model is now widely used by companies to determine the fair value of stock options It has been extended to the pricing of other derivatives such as interest rate options, currency options, commodity options.

The Black–Scholes model was implemented in the calculator below. You can use it to price European options.

Input

Please enter the following input parameters:

  • Spot Price: price of the underlying asset
  • Strike Price: strike of the option contract
  • Risk-Free Rate: risk-free rate
  • Volatility: volatility of the underlying asset
  • Dividend Yield: continuous dividend yield of the underlying asset
  • Time to expiration in years: time to maturity of the option contract

Output

The calculator returns the following results:

  • Price: fair value of the option contract
  • Delta: delta of the option contract
  • Gamma: gamma of the option contract
  • Vega: vega of the option contract
  • Theta: theta of the option contract

Check out other finance calculators on our website.

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Further questions

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