Black-Scholes Calculator

This tool prices a European call or put option with the Black-Scholes-Merton model. Enter the spot and strike price, days to expiry, the risk-free rate, the volatility and any dividend yield, and it returns both the call and the put price along with delta, gamma, vega, theta and rho. A second action runs the formula backwards to find the volatility implied by a price you have been quoted. The model assumes European exercise, one constant volatility to expiry and a dividend paid as a continuous yield, so what comes back is a fair value under those assumptions rather than a price anyone will trade at.

Calculator Type

Spot Price of the Underlying ($) *

Strike Price ($) *

Days to Expiry *

Calendar days. The model uses days / 365 as the time in years.

Risk-Free Rate (% per year) *

Continuously compounded, usually a Treasury yield near the expiry.

Volatility (% per year) *

Annualised standard deviation of returns. 20 means 20%.

Dividend Yield (% per year)

Leave at 0 for a non-dividend payer. A continuous yield, not a dated dividend.

Option Type

Widget