» Black-Scholes Option Pricing Model


Initial Data


Spot price of the underlying asset
Strike price of the option
Time to maturity (days)
Risk-free interest rate (continuous compounding)
%
Volatility
%

Result


CALL
PUT
Price
Δ (delta)
Γ (gamma)
ν (vega)
ρ (rho)
Θ (theta)
d1 =
d2 =


Note! The Black-Scholes formula is used in this form only for the approximate valuation of European-style stock options, assuming that no dividends are paid to shareholders until the option expires, and that stock volatility remains constant during that time.