The Price and Greeks for European Call and Put Options Using the Black-Scholes Model

INPUT Values Units Explanation
Stock Price: US$
Volatility: Square Root (% / year) Enter 30 for Volatility = 0.3
Riskless Interest Rate: % / year Enter 1.5 for Riskless Interest Rate = 0.015
Time to Maturity: Years
Strike Price: US$

Backend:

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OUTPUT Call Put Units
Option Price: US$ / Option
Delta (wrt Underlying): Shares / Option = (US$ / Option) / (US$ / Share)
Gamma (wrt Underlying twice): (Shares / Option) / (US$ / Share)
Kappa (wrt Volatility): (US$ / Option) / Square Root(% / Year)
Rho wrt (Interest Rate): (US$ / Option) / (% / Year)
Theta (wrt Calendar Time): (US$ / Option) / Year

At the end: Use this calculator at your own risk, i.e. no guarantee for the correctness of the calculations!