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Options pricing

One model. A whole landscape of possibilities.

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Theoretical price$10.45European call

Intrinsic value$0.00Exercise value today

Price less intrinsic$10.45Includes carry and optionality

VOLATILITY (%)

60708090100110120130140

60%

50%

40%

30%

20%

10%

UNDERLYING PRICE (USD)

$0.00$55.48Option value

Explore any cell to inspect a scenario.

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Read across for a change in spot. Read down for a change in volatility. Strike, time, rate and yield stay at your assumptions.

About this model +

Black–Scholes–Merton values European calls and puts with constant volatility, continuously compounded interest and a continuous dividend yield. It excludes fees, discrete dividends and early exercise. These are theoretical scenarios, not market quotes. At zero time the price equals payoff; at zero volatility it equals discounted deterministic payoff. Model reference ↗

Guides

Seven free, browser-based tools for practising the ideas behind quant finance and quant interviews. Each one has its own page with a guide to what it computes and the lessons behind it.

01Black–Scholes option pricing calculatorBlack–Scholes prices across spot and volatility, as a heatmap or payoff curve.02Implied volatility surface explorerShape an implied-volatility surface with skew, curvature and term slope.03Texas Hold’em odds trainerEstimate your winning probability as the board is dealt card by card.04Bayes’ rule trainerGuess the posterior, then watch the population shrink to the evidence.05Limit order book simulatorWalk a limit order book and see what a market order really costs.06Market making gameQuote a two-sided market against noise traders and an insider.07Option strategy builder and payoff calculatorBuild multi-leg option strategies and explore payoff, risk and Greeks.

New: the Strategy lab. Backtest all 101 Formulaic Alphas and the 151 Trading Strategies on real market data.

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Options pricing

The price landscape