Black-Scholes Option Pricing Calculator
Black-Scholes Option Pricing: a planned Super Calculator tool. Covers spot price (currency). Stub page while the tool and its worked example are prepared.
Black-Scholes Option Pricing Calculator is a planned calculator in the finance section of Super Calculator, covering options and derivatives.
What this calculator will compute
Inputs: spot price (currency), strike (currency), time to expiry (years), risk free rate (%), volatility (%), dividend yield (%) and option type.
Outputs: option price (currency), d1 and d2 and intrinsic and time value (currency).
Formula, recorded as scope and not yet verified against a primary source: Call price C = S e^(-qT) N(d1) - K e^(-rT) N(d2), with d1 = (ln(S/K) + (r - q + sigma^2/2)T)/(sigma sqrt(T)) and d2 = d1 - sigma sqrt(T). The model assumes European exercise, constant volatility and lognormal returns, none of which hold exactly, and the observed volatility smile is direct evidence of the last failing.
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.