Black-Scholes Option Calculator

By Dima Levshukov

Welcome to my Black-Scholes Calculator! I'm a computer science student at the Univercity Of Calgary and am passionate about quantitative finance. This tool aims to go beyond the basic Black-Scholes calculator by providing a PnL heatmap visualization through shocking the models most senstive parameters: price and volatility.

About the Black-Scholes Model

The Black-Scholes model is a mathematical model for pricing European-style options. It calculates the theoretical price of options using the following formula:

Call Option:

C = S·N(d₁) - K·e^-rT·N(d₂)

Put Option:

P = K·e^-rT·N(-d₂) - S·N(-d₁)

Where:

d₁ = [ln(S/K) + (r + σ²/2)T] / (σ√T)

d₂ = d₁ - σ√T

S - Current stock price
K - Strike price of the option
T - Time to expiration (in years)
r - Risk-free interest rate
σ - Volatility of the stock
N(x) - Cumulative normal distribution function

Stock Price (S)

Strike Price (K)

Time to Maturity

Years

Months

Days

Risk-Free Interest Rate

Volatility (σ)

Black-Scholes Calculator

Call Option

Put Option

Call Option Heat Map

Put Option Heat Map