Black and Scholes Model

INPUT
S
K
T
R
%
D
%
iv
%
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

S = 100 (the price of the stock = Rs.100/-)

K = 100 (the strike price of the option = Rs.100/-)

t = 30 (remaining days untill Expiry = 30 Days)

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)

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