Vanilla Option Price

Posted by Chun-Yuan Chiu

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Option type
Output:
Option value

Derivation:

Derivation of the Black-Scholes Formulae

The calculation is based on Black-Sholes model.

Tagged: Black-Scholes Calculator, Vanilla Option

 •  Mar 1, 2014  • 

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