The option calculator uses a mathematical formula called the Black-Scholes options pricing formula, also popularly called the ‘Black-Scholes Option Pricing Model’. This is probably the most revered valuation model in Economics, so much so that its publishers (Robert C. Metron and Myron Scholes) ...
Black & Scholes Option Pricing Formula Spot Strike Expiry Volatility (%) Interest (%) Dividend Calculate Call Option PremiumPut Option PremiumCall Option DeltaPut Option DeltaOption Gamma 00000 Call Option ThetaPut Option ThetaCall Option RhoPut Option RhoOption Vega...
But how does this approach compare with the commonly used Black-Scholes pricing model? An online options calculator (courtesy of the Options Industry Council) closely matches the computed value: Binomial Option Pricing Math Unfortunately, the real world is not as simple as “only two states.” ...
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blackdeltacalculator.cpp blackdeltacalculator.hpp blackformula.cpp blackformula.hpp bonds.cpp bonds.hpp brownianbridge.cpp brownianbridge.hpp businessdayconventions.cpp businessdayconventions.hpp calendars.cpp calendars.hpp callablebonds.cpp callablebonds.hpp capfloor.cpp capfloor.hpp capflooredcoupon.cpp ca...
Of course you can always find out the exact delta of an option by using a B&S option pricing calculator. 9.5 – Delta for a Put Option Do recollect the Delta of a Put Option ranges from -1 to 0. The negative sign is just to illustrate the fact that when the underlying gains in valu...