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Black-Scholes option priceAnalyst
Theoretical European call and put prices, with delta.
What you’ll enter
- Stock price
- Strike price
- Time to expiry
- Risk-free rate
- Volatility
- Dividend yield
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The formula
C = S·e⁻qᵀ·N(d₁) − K·e⁻ʳᵀ·N(d₂) d₁ = [ln(S/K) + (r − q + σ²/2)T] ÷ σ√T
N() is the standard normal distribution and d₂ = d₁ − σ√T. The model assumes constant volatility and European exercise, so treat it as a reference price.