Option Pricer

Option pricer calculates the theoretical value of a call and put option.

You simply supply the current price and annual historical volatility of the underlying instrument, prevailing risk free interest rate, strike price and the options time to maturity.

The application also calculates the delta, gamma, theta, vega and rho of the option. You can provide an optional dividend yield to the calculator. The calculator is based on the popular Black-Scholes options pricing model.