Option pricing calculator

Using the Black-Scholes Option Pricing Model
Prepared by Pamela Peterson Drake, Florida Atlantic University

Instructions:
  1. Input the five parameters of the option in the appropriate boxes below.
  2. Click on the "Calculate the value of the options" button.*
Inputs
Price of the underlying asset Exercise price Volatility of the value of the underlying asset
[i.e., standard deviation]		 Risk-free rate of interest
[e.g., .04 for 4%]		 Term in years
[e.g., .5 for 6 months]
S X s r T

   

Intermediate calculations**

d1= d2= N(d1)= N(d2)=

Estimated values of the call and put options
Value of the call option Intrinsic value of the call option Value of the put option Intrinsic value of the put option
C IC P IP

References
  1. Black, Fischer, and Myron Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, (May-June 1973) pp. 637-54.
  2. Carr, Peter. "A Calculator Program for Option Values and Implied Standard Deviations," Journal of Financial Education, Vol. 17, No. 1 (Fall 1988) pp. 89-93.
* This calculator uses the model proposed by Black and Scholes (1973) and does not incorporate dividends.
** These calculations uses the approximation to the cumulative normal probability suggested by Peter Carr (1988).

DISCLAIMER: This calculator is for educational purposes. This calculator is not intended from investment purposes.