What is Black-Scholes Options Pricing?
Calculate theoretical option price and Greeks (Delta, Gamma, Theta, Vega) using the Black-Scholes model Simply enter your values, and the calculator instantly computes accurate results using standard financial formulas. All calculations are performed entirely in your browser — nothing is stored or transmitted.
Formula Used
C = Call price | S = Stock price | K = Strike price | r = Risk-free rate | T = Time to expiry | σ = Implied volatility | N() = Cumulative normal distribution
How to Use This Calculator
- Enter the current stock or index price
- Enter the option strike price
- Enter time to expiry in days
- Enter implied volatility (IV) percentage
- Enter risk-free rate (typically 6.5% for India)
- Get theoretical call and put prices with all Greeks
Worked Example
Stock: 22000 | Strike: 22000 | Days: 30 | IV: 15% | Rate: 6.5% → Call: ₹285 | Put: ₹248 | Delta: 0.52 | Theta: -₹12/day
Why Use This Tool?
- Find overpriced or underpriced options vs market price
- Calculate all 5 Greeks simultaneously
- Understand sensitivity of option price to market changes
- Essential tool for options traders and analysts
Frequently Asked Questions
What is the Black-Scholes model?
Black-Scholes is a mathematical model for pricing European-style options. It takes into account stock price, strike price, time to expiry, risk-free rate, and volatility to calculate the theoretical fair value of an option.
What are Options Greeks?
Greeks measure sensitivity of option price to various factors: Delta (price change sensitivity), Gamma (delta change rate), Theta (time decay per day), Vega (volatility sensitivity), Rho (interest rate sensitivity).
Is Black-Scholes accurate for Indian options?
Black-Scholes works well for index options (Nifty, Bank Nifty) but has limitations for individual stocks. It assumes constant volatility, which is not realistic. Use it as a reference, not as absolute truth.
Explore more options & derivatives calculators or try our other free financial tools.