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Option Value Calculator

(Black-Scholes)

Made By: SLCG Economic Consulting Staff

Option Value Calculator (Black-Scholes)

(at-the-money)
(at-the-money)

About the SLCG Economic Consulting Option Value Calculator (Black-Scholes)

This tool lets you value European put and call options using the Black-Scholes model. Change any of the sliders to see their effect on the call and put prices.

Talking through the example in the tool, let's imagine we have a European call option with a strike price of , expiring in  months, on an asset with a current price of .  Assume the underlying asset has a dividend yield of  and the risk-free rate is currently .  Using the Black-Scholes model with an implied volatility of , the value of this  call option is .

In the Black-Scholes model, the value of a European call option with strike \(K\), expiring in \(T\) years from today on a stock with a current price of \(S\) and dividend yield of \(q\) is given by $$C = e^{-rT}\left[F \Phi\left(d_+\right) - K \Phi\left(d_-\right)\right]$$ where \(r\) is the risk-free rate, \(\Phi\) is the cumulative normal distribution function and $$ d_\pm = {\ln\left({F \over K}\right) \pm {\sigma^2 \tau \over 2} \over \sqrt{\sigma^2 \tau}},\quad \hbox{and} \quad F = e^{(r-q)\tau}. $$ The value of a European put option with strike \(K\), expiring in \(T\) years on the same stock is $$P = e^{-rT}\left[ K \Phi\left(-d_-\right) - F \Phi\left(-d_+\right)\right].$$

Disclaimer: SLCG Economic Consulting, LLC does not offer advice or solicits investment advisory clients through this website.
The SLCG Economic Consulting Option Value Calculator is offered solely for educational purposes. For advice, please consult your financial adviser or legal professional.