BlackScholes

The BlackScholes model or BlackScholesMerton is a mathematical model of a financial ma

forsigmala, which gives the price of European-style options.
Inputs
Stock Price
Strike Price
Time To Expiry
Volatility
Risk Free Rate
Dividend Yield

50
60
1
25.00%
6.77%
2.00%

Outputs
d1
N(d1)
N'(d1)
d2
N(d2)

Value

-0.4135
0.3396
0.3663
-0.6635
0.2535
Calls
2.4301

Puts
9.4926

Partial Derivatives
Delta
Gamma
Vega
Theta
Rho

Calls
Puts
0.3396
-0.6604
0.0293
0.1831
-0.0036
-0.0140
0.1421
-0.4186

olesMerton is a mathematical model of a financial market containing certain derivative investment instrume
opean-style options.

S, the price of the stock

K, thestrikeof the option
T, current time until expiration
, the volatility of the stock's returns; this is the square root of thequadratic variationof the stock'
r, the annualizedrisk-free interest rate,continuously compounded(theforce of interest)
d, how sigmach a company pays out in dividends each year relative to its share price

standard normal cusigmalative distribution of d1, a measure how far in the money the option is exp
standard normal probability density of d1
the probability of exercise (paying the strike price)

C, call option value; P, put option value

, measures the rate of change of option value with respect to changes in the underlying asset's p
, measures the rate of change in the delta with respect to changes in the underlying price
V, measures sensitivity to volatility
, measures the sensitivity of the value of the derivative to the passage of time
, measures sensitivity to the interest rate

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