Black-Scholes Option Prices with Greeks

Vanilla Option Price

Posted by Gary Pai

The calculation is based on Black-Sholes model.

• First Version: Mar 9, 2013 •

• Last Edited: Nov 18, 2025 •

Input:
Initial underlying asset price
Strike price
Time to maturity		Years
Risk free interest rate (annulized)
Volatility (annulized)
Output:
Call value
Put value
Call delta
Call gamma
Call vega
Call theta
Call rho