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Black-Scholes-Merton Calculator

You can use this Calculator to determine the fair market value (price) of a European put or call option based on the Black-Scholes pricing model. It also calculates and plots the Greeks – Delta, Gamma, Theta, Vega, Rho.

Enter your own values in the form below and press the "Calculate" button to see the results.

Course of the Underlying ($) - e.g. 1000:
Volatility (%) - e.g. 0.2:
Strike Price ($) - e.g. 970:
Risk-free interest-rate (%) - e.g. 0.06:
Time to expiration in days - e.g. 92:
Dividend yield (%) - e.g. 0:

By using this calculator, you confirm that you have read and agreed to the following important notices and guidelines.

The forecasts generated by the instrument or other provided information do not reflect actual investment results and do not guarantee any future results. The calculated results are for educational purposes only and should not be considered as individual investment advice.

Any information contained in or generated by the Tool should not be construed or relied upon as investment advice, research or recommendation by Cayman Brothers with respect to the use or suitability of any particular option transaction or investment strategy.

The tool does not guarantee any future income and does not protect against capital loss. There can be no guarantee that an investment strategy based on the instrument will be successful.