Black-Scholes price for a stock-index option

The following calculator will produce the Black-Scholes price for a European stock-index option (put or call) with a dividend rate of q pa.

The calculator can also be used for currency options by replacing q by the risk-free rate in the foreign country.

For American options, see Financial Trading System's OptionTutor in the appendix.

Inputs:-
Select option type:
Current stock-price (S dollars):
Dividend yield (q pa):
Strike-price (X dollars):
Risk-free rate (r pa):
Time to expiration (T yrs):
Volatility of stock-price (s pa):
Ouputs:-
Black-Scholes price for option:
Delta:
Theta:
Gamma:
Vega:
Rho:
The field beneath the table prvides a check on the calculator. It shows the value of the expression given by Hull at 14.5, which is identically zero for both types of options.

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