Vanilla Option Pricer
Price European and American calls and puts with Black-Scholes, and read every greek off the same screen.
This free Black-Scholes option calculator prices European calls and puts from the six standard inputs — spot, strike, time to maturity, volatility, risk-free rate and carry (dividend or repo) — and returns the option price together with the full set of option greeks: delta, gamma, vega, theta and rho, in both unit and cash terms. American options are priced with a Cox-Ross-Rubinstein binomial tree so you can see the early-exercise premium directly.
How to read the output
Delta is your directional exposure — how much the option moves per €1 of spot. Gamma tells you how fast that delta changes, which is why a long-gamma book is happy when the market moves and a short-gamma book bleeds. Vega is your sensitivity to implied volatility, theta the daily time decay, and rho the rate sensitivity. The sensitivity charts plot each greek against spot and time so the shape — not just the number — becomes intuitive.
When you'd use it
Sizing a hedge, checking a quoted premium, preparing for a markets interview, or just building intuition for how an option behaves as spot, vol and time move. If the vocabulary is new, start with Call vs Put — when do I want which? and the greeks without the math. For the interview angle, the Coach Q&Acovers gamma P&L, delta hedging and pin risk in depth.
Frequently asked questions
Is this Black-Scholes calculator free?
Yes — pricing options and reading the greeks is completely free, with no account required. Only the Interview Coach and the printable cheat sheets are Pro features.
Which greeks does it compute?
Delta, gamma, vega, theta and rho, in both per-unit and cash terms, alongside the option price and the full d1/d2 formula breakdown. The 3D surface plots any greek against spot and volatility.
Can it price American options?
Yes. Switch to American mode and the option is priced on a Cox-Ross-Rubinstein binomial tree, so you can read the early-exercise premium over the European price directly.
How does it handle dividends and repo?
Through the cost-of-carry b = r − q − repo. Enter a continuous dividend yield and a repo/borrow rate and the forward, price and greeks all adjust accordingly.