Harsha Matta

Options Pricing

Medium · How do you Price an Option?

Black–Scholes option pricing with a historical-data Streamlit app and an interactive calculator.

GitHub ↗
  • Python
  • Pandas
  • Streamlit
  • Black–Scholes

Black–Scholes calculator

European option pricing

Educational model
Model assumptions

European exercise · no dividends
Strike $100 · annual rate 4%

Hypothetical inputs. No market data.

Model price
$11.84
Delta
0.612
Gamma
0.015
Option price ($)Underlying price ($)
  • Call price
0.99618.235.570130
At an underlying price of $100, the modeled call price is $11.84. The point marks your selected price.
View chart data
Option price ($) by underlying price ($)
Underlying price ($)Call price
700.9961
711.129
721.2743
731.4326
741.6046
751.7907
761.9914
772.2072
782.4385
792.6857
802.9492
813.2293
823.5262
833.8403
844.1716
854.5204
864.8867
875.2706
885.6723
896.0916
906.5285
916.983
927.455
937.9443
948.4507
958.9741
969.5143
9710.0709
9810.6438
9911.2326
10011.837
10112.4568
10213.0916
10313.741
10414.4047
10515.0823
10615.7735
10716.4778
10817.1949
10917.9244
11018.6659
11119.419
11220.1833
11320.9585
11421.7442
11522.54
11623.3454
11724.1603
11824.9841
11925.8165
12026.6573
12127.506
12228.3623
12329.2259
12430.0965
12530.9738
12631.8574
12732.7472
12833.6428
12934.5439
13035.4503