Follow us on LinkedIn
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.
Let us know what calculator you want us to develop in the comment section below.
Further questions
What's your question? Ask it in the discussion forum
Have an answer to the questions below? Post it here or in the forum
Spanx is hosting a Black Friday sale with discounts on their legendary shapewear, as well as deals on our favorite leggings and work pants.
The October 17 cluster missile strikes on two Russian airfields destroyed over a dozen helicopters, including several Ka-52s.
The Russian actress was killed in the strike along with 20 Russian soldiers, according to the BBC.
Target is experimenting with a 10-item limit at self-checkout kiosks at some stores as the retailer grapples with theft and other forms of product loss.
