What is the Black-Scholes call option formula?

C = S x N(d1) - K x exp(-r x T) x N(d2), where d1 = (ln(S/K) + (r + sigma^2/2) x T) / (sigma x sqrt(T)), d2 = d1 - sigma x sqrt(T), and N() is the standard normal CDF.

What are the assumptions of Black-Scholes?

Continuous trading, no dividends, constant volatility, log-normal stock returns, no transaction costs, European exercise only. Real options often deviate due to dividends, early exercise, and volatility smile.

Black-Scholes Call Option Price Calculator

Calculate call option price using the Black-Scholes-Merton model. Inputs: stock price, strike price, time to expiry, risk-free rate, and implied volatility.

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How It Works

Calculate call option price using the Black-Scholes-Merton model. Inputs: stock price, strike price, time to expiry, risk-free rate, and implied volatility

Each component has a specific meaning:

Black-Scholes-Merton model — The black-scholes-merton model recorded for the scenario being assessed.

Note: Interpret the black-scholes call result against the thresholds and context described above.

How to Use

Enter the Black-Scholes-Merton model for the scenario you are assessing. Calculate call option price using the Black-Scholes-Merton model. Inputs: stock price, strike price, time to expiry, risk-free rate, and implied volatility. Use the black-scholes call result to inform your calculation.

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Black-Scholes Call Option Price Calculator

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Frequently Asked Questions

What is the Black-Scholes call option formula?

What are the assumptions of Black-Scholes?