Option Calculator

Option Calculator provides option pricing for the most common types of financial options. The app allows you to calculate theoretical prices (fair value), greeks (delta, gamma, vega, rho, and theta), as well as implied volatility.

Option Calculator supports European and American option. Supported underlying asset types are stock, index, future, and currency. European options are valued with variations of the Black-Scholes model. American options are priced using the binomial model.

Option Calculator includes an interactive “What-If” calculator that shows the payoff profile of your option and lets you explore changes as you vary underlying price, volatility, and time to maturity.