Black-Scholes & Greeks

Derivatives Ch. 13 — Risk-Neutral Pricing

Spot Price ($)

Strike Price ($)

Time to Expiry (yrs)

Risk-Free Rate (%)

Volatility (%)

Dividend Yield (%)

Type

Market Price ($)

Enter observed market price to back-solve IV

Strike Range ($) —

Expiry Range (days) —

Greek

Option Price—

Intrinsic Value—

Time Value—

d₁—

d₂—

Delta (Δ)—

Gamma (Γ)—

Theta (Θ) /day—

Vega (ν) /1%—

Rho (ρ) /1%—

Implied Vol—

Iterations—

European—

American—

Early Exercise Premium—

C = S·e^{-qT}·N(d₁) − K·e^{-rT}·N(d₂)
d₁ = [ln(S/K) + (r − q + ½σ²)T] / σ√T

Ch. 13 — Black-Scholes Formula Ch. 13 — Greeks First-Order Sensitivities