Price call and put options using the Black-Scholes model. Enter stock price, strike price, risk-free rate, volatility, and time to expiration.
The Black-Scholes model is a mathematical formula for pricing European-style options. It considers stock price, strike price, time to expiration, risk-free rate, and volatility. While it makes simplifying assumptions (no dividends, constant volatility), it remains the foundation of modern option pricing.
Delta measures how much an option's price changes for a $1 move in the underlying stock. A call with delta 0.5 gains approximately $0.50 when the stock rises $1. Delta also roughly indicates the probability of the option expiring in the money.
Time value represents the premium paid for the possibility of the option becoming more valuable before expiration. It decays as expiration approaches (theta decay), accelerating in the final weeks. Options buyers lose time value daily, while sellers benefit from it.