Black-Scholes Option Pricer
European option price, Greeks, and payoff diagram
d₁ = (ln(S/K) + (r − q + σ²/2)T) / (σ√T); call = S e^(−qT)N(d₁) − K e^(−rT)N(d₂)
Call option price
10,4506
Intrinsic value
0
Time value
10,4506
Break-even at expiry
110,4506
Greeks
Delta
0,636831
Gamma
0,018762
Vega per 1 vol point
0,37524
Theta per day
-0,017573
Rho per 1 rate point
0,532325
Model z-scores
d1 0,35 · d2 0,15