Options Pricers

A PHP Error was encountered

Severity: Warning

Message: Division by zero

Filename: views/blackscholes.php

Line Number: 208

A PHP Error was encountered

Severity: Warning

Message: Division by zero

Filename: views/blackscholes.php

Line Number: 214

Type Premium Delta Gamma Theta Vega
Call -16.66 0.4994 0.0000 -19.3314 247.6021
Put 16.66 -0.4994 0.0000 19.3314 247.6021
Description

The formula derived by Black & Scholes (1973) can be used to value a European option on a stock that does not pay dividends before the option's expiration date

Options Strategies

where:

  • S: Spot price
  • X: Strike price of the option
  • r: Risk-free interest rate
  • T: Time to expiration in number of days
  • σ: Volatility of the relative price change of the underlying stock prices
  • N(x): The cumulative normal distribution function