Black-Scholes Model: This calculator uses the Black-Scholes-Merton model to price European-style options. Results are theoretical values based on your inputs. Need help? Chat with AI Assistant
Option Parameters
About the Model
The Black-Scholes model assumes constant volatility and interest rates. Real market conditions may differ from theoretical values.
Option Price
Theoretical Value
$5.57
Δ Delta
0.5432
Price sensitivity
Γ Gamma
0.0398
Delta change
Θ Theta
-0.0521
Time decay
V Vega
0.1987
Vol sensitivity
ρ Rho
0.0412
Rate sensitivity
Payoff Diagram
Profit/Loss Scenarios
| Stock Price | Intrinsic Value | P&L ($) | P&L (%) |
|---|
Sensitivity Analysis
Stock Price Change
0%
Volatility Change
0%
Days Passed
0
New Option Price
$5.57
+0.00%