Black-Scholes Option Pricing Model

1. Option Parameters

Current Stock Price (S):

Strike Price (K):

Time to Expiration (T, in years):

E.g., 30 days = 30/365 ≈ 0.0822 years.

2. Market Parameters

Volatility (σ, annualized %):

Annualized standard deviation of stock returns.

Risk-Free Interest Rate (r, annualized %):

Valuation Currency: USD ($) EUR (€) GBP (£) JPY (¥) INR (₹)

3. Actions

Black-Scholes Results

Call Option

Price (C): -

Delta (Δ): -

Gamma (Γ): -

Theta (Θ) (per year): -

Vega (ν): -

Rho (ρ): -

Put Option

Price (P): -

Delta (Δ): -

Gamma (Γ): -

Theta (Θ) (per year): -

Vega (ν): -

Rho (ρ): -

Intermediate Values

d₁: -

d₂: -

N(d₁): -

N(d₂): -

N(-d₁): -

N(-d₂): -

N'(d₁) (PDF): -