Black-Scholes Parameters
Annual dividend yield of the stock
Theoretical Prices
$0.00
Call Option Fair Value
$0.00
Put Option Fair Value
$0.00
Call Intrinsic Value
$0.00
Put Intrinsic Value
$0.00
Time Value (Call)
Black-Scholes Model
Model Assumptions
- Constant volatility and risk-free rate
- No dividends (or constant dividend yield)
- European-style exercise
- No transaction costs
- Lognormal stock price distribution
Key Components
Intrinsic Value: The immediate exercise value
Time Value: Premium above intrinsic value
Fair Value: Intrinsic + Time Value
Usage Tips
Compare theoretical prices with market prices to identify potentially mispriced options. Higher volatility increases option values.