Option Parameters
Enter option parameters and click Calculate to see results
Black-Scholes Model
The Black-Scholes model, developed by Fischer Black, Myron Scholes, and Robert Merton, provides a mathematical framework for pricing European options. The model assumes:
- Constant volatility and risk-free rate
- No dividends (extended here to include continuous dividends)
- European exercise (only at expiration)
- No transaction costs
- Log-normal distribution of stock prices
Call Option Formula:
C = S × e-qT × N(d₁) - K × e-rT × N(d₂)
d₁ = [ln(S/K) + (r - q + σ²/2)T] / (σ√T)
d₂ = d₁ - σ√T