Black and Scholes Model Option Calculator » Option Pricing

Black and Scholes Model

INPUT

OUTPUT

#	Call
Theoretical Price	00.00
Delta	00.00
Gamma	00.00
Vega	00.00
Theta	00.00
Rho	00.00

SIMULATION

#	34	55	89	144	233	377	610
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00
25%	20.00	30.05	20.00	30.05	20.00	30.05	20.00

“Option Pricing calculation or simulation using Black Scholes model, this option calculator generates theoretical values and option Greeks for European call and put options.”

"The key idea behind the model is to hedge the option by buying and selling the underlying asset in just the right way and, as a consequence, to eliminate risk.”

S = 100 (the price of the stock)
K = 100 (the strike price of the option)
t = 30 (remaining days untill Expiry)
R = 6.5 (the annualized risk-free interest rate, we take it as 6.5% normally)
D = 1 (the drift rate of S, annualized; We take it as 1% normally)
iv = 25 (the volatility of returns of the underlying asset, refer NSE website's option-chain tab to get current IV)