The Black-Scholes model is a mathematical model for pricing options, which are financial derivatives that give the holder the right, but not the obligation, to buy or sell an underlying asset at a predetermined price and time. The Black-Scholes model is widely used to calculate the theoretical value of options and to estimate the implied volatility of the underlying asset, which is the market’s expectation of the future volatility of the asset.

[black_scholes_calculator]

The calculator form includes the following input fields:

• Option Type: The type of option, either a call option or a put option.
• Stock Price: The current market price of the underlying asset.
• Strike Price: The predetermined price at which the option can be exercised.
• Interest Rate: The risk-free interest rate, usually the current yield on a risk-free government bond.
• Days to Expiry: The number of days until the option expires.
• Option Price: The current market price of the option.

When the form is submitted, the plugin will use the Black-Scholes formula to calculate the following option greeks:

• Implied Volatility: Expected Volatility
• Delta: The rate of change of the option’s price with respect to the underlying asset’s price.
• Gamma: The rate of change of the delta with respect to the underlying asset’s price.
• Vega: The rate of change of the option’s price with respect to the underlying asset’s implied volatility.
• Theta: The rate of change of the option’s price with respect to the time to expiration.