ResolutionPro comes with a Black Scholes Calculator. Calculate prices, delta, gamma, theta, vega. Perform scenaior analysis based on price and volatility changes.
Black Scholes Model
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The Black Scholes option pricing model is defined as follows:
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OV = option value.
S = spot price of the underlying asset.
X = exercise price (strike).
r = risk-free interest rate, expressed with continuous compounding.
vol = volatility of the relative price change of the underlying asset.
T = time to maturity measured in years (actual/365 basis).
N(.) = cumulative normal distribution of (.).
iPC = 1 for call / -1 for put.
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Black Scholes Greeks
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The Greek formulas for the Black Scholes option pricing model are as follows:
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S = spot price of the underlying asset.
X = exercise price (strike).
r = risk-free interest rate, expressed with continuous compounding.
vol = volatility of the relative price change of the underlying asset.
T = time to maturity measured in years (actual/365 basis).
N(.) = cumulative normal distribution of (.).
iPC = 1 for call / -1 for put.
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