» 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 =

See also:

 
 



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