Price a European call and put on a non-dividend stock from spot, strike, years, rate, and volatility.
| Call | – |
| Put | – |
| d1 | – |
| d2 | – |
Use this Black–Scholes calculator for European options on a stock that pays no discrete dividend. It is the classic 1973 closed form, not an American early-exercise tree and not a dividend-adjusted model.
d1 = [ln(S/K) + (r + σ²/2) T] / (σ √T) and d2 = d1 − σ √T. Call = S N(d1) − K e^(−rT) N(d2). Put = K e^(−rT) N(−d2) − S N(−d1). Put-call parity holds for these outputs. Rate and volatility are percents: type 5 and 20 for 5% and 20%. Time T is in years (0.25 is three months).
Spot: Current price of the underlying.
Strike: Exercise price of the option.
Years: Time to expiry in years.
Rate (%): Continuously compounded risk-free rate as a percent.
σ (%): Annualised volatility as a percent.
Call: European call value.
Put: European put value.
d1, d2: The usual Black–Scholes arguments of the normal cdf.
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