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Black-Scholes Options Pricer

PRO

Price European call and put options using Black-Scholes with all five Greeks calculated.

Alex ThorntonVerified

CFA, CMT — Chartered Financial Analyst & Chartered Market Technician

Former institutional trader with 15 years experience across equities, forex and derivatives. Now focused on financial education.

Spot Price (S)

NZ$

Strike Price (K)

NZ$

Days to Expiry

days

Implied Volatility (% p.a.)

Risk-Free Rate (% p.a.)

Dividend Yield (% p.a.)

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The Black-Scholes model (1973) prices European options. Five Greeks measure sensitivity to each input variable.

C = S·e^(−qT)·N(d₁) − K·e^(−rT)·N(d₂)   |   d₁ = [ln(S/K) + (r−q+σ²/2)T] / σ√T

Where

SCurrent stock price

KStrike price

TTime to expiry (years)

σImplied volatility

rRisk-free rate

N(·)Cumulative normal distribution

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