Options Pricing
Black-Scholes-Merton model for European options. Includes Greeks analysis.
Option Parameters
Call Option
Right to Buy
$10.45
Delta (Δ)0.6368
Gamma (Γ)0.0188
Theta (Θ)-0.0176
Vega (ν)0.3752
Rho (ρ)0.5323
Put Option
Right to Sell
$5.57
Delta (Δ)-0.3632
Gamma (Γ)0.0188
Theta (Θ)-0.0045
Vega (ν)0.3752
Rho (ρ)-0.4189
Intrinsic Value Payoff
Value at Expiration vs Spot Price