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.
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
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.
What's your question? Ask it in the discussion forum
Have an answer to the questions below? Post it here or in the forum
Investors cast their votes on the proposal at the bank's annual general meeting in Birmingham in central England, but its supporters ultimately failed to get the majority required.
LONDON (AP) — Britain’s Conservative Party endured big losses in early results from local elections being viewed as a test of support for Prime Minister Rishi Sunak ‘s government as a national election approaches. The opposition Labour Party and Liberal Democrats made significant gains. The…
Edison Next and Berco allied in a path towards sustainability MILAN, Italy, May 05, 2023 (GLOBE NEWSWIRE) — Edison Next, an Edison Group company that focuses on decarbonisation and ecological transition, has embarked on a path towards sustainability with Berco, a ThyssenKrupp Group company specialising in…