About the Options Pricing Calculator
What is the Options Pricing Calculator?
The Black-Scholes model estimates the fair price of a European option — one that can be exercised only at expiry — from five inputs: the current price of the underlying, the strike price, time to expiry, volatility and the risk-free interest rate.
Choose call or put and enter the inputs. The calculator returns the theoretical premium for both the call and the put and the option's intrinsic value, so you can see how much of the premium is time value.
How to use the Options Pricing Calculator
- Option Type (sample: Call)
- Spot Price (INR) (sample: 1,000)
- Strike Price (INR) (sample: 1,050)
- Risk-Free Rate (%) (sample: 7)
- Volatility (%) (sample: 25)
- Time to Expiry (Years) (sample: 1)
- Press Price Option (results also refresh as you type). The result card shows the Option Premium, along with Put Premium, Intrinsic Value and Time Value.
Formula used
Call = S × N(d₁) − K × e^(−rT) × N(d₂)
- Put = K × e^(−rT) × N(−d₂) − S × N(−d₁)
- d₁ = [ln(S ÷ K) + (r + σ² ÷ 2) × T] ÷ (σ√T)
- d₂ = d₁ − σ√T
- N() = the standard normal cumulative distribution
S = spot price, K = strike, T = years to expiry, σ = annual volatility, r = risk-free rate. Dividends are ignored.
Worked example
These are the sample values already filled in the calculator above, and the result it returns for them:
| Input | Sample value |
|---|---|
| Option Type | Call |
| Spot Price (INR) | 1,000 |
| Strike Price (INR) | 1,050 |
| Risk-Free Rate (%) | 7 |
| Volatility (%) | 25 |
| Time to Expiry (Years) | 1 |
| Result | Value |
|---|---|
| Call Premium | ₹109 |
| Put Premium | ₹88 |
| Intrinsic Value | ₹0 |
| Time Value | ₹109 |
Tips for using the Options Pricing Calculator
- Implied volatility — the σ that makes the model match the market price — is more useful than historical volatility for trading.
- Index options on NSE are European-style, so Black-Scholes applies directly.
- Time value decays faster as expiry approaches (theta).