Black and Scholes model

Implied standard deviation from put option price

Solution is found by iterating the Black and Scholes model for standard deviation range between 0 and 10. Precision is to the fourth decimal (i.e. 0.0827).

Spot price (ex. 30):
Strike price (ex.30):
Years to maturity (ex. 0.25):
Risk-free rate (ex. 0.02):
Put Price (ex. 1.10):

Spot price:	$0.00
Strike price:	$0.00
Years to maturity:
Risk-free rate:	0.00%
Standard deviation:	0.0000
d1:	0.0000
d2:	0.0000
Call price:	$0.0000
Put price:	$0.0000

This Black and Scholes calculator page is provided for educational purposes only. It is not intended to be used in real investments. It may have errors. It is provided as is without any guaranties. Use at your own risk.

You can try Black and Scholes model using real option data from "NASDAQ: World Currency Options".

 

© (2009) Dicle & Levendis (DL) - Trading Game
This is site is created and maintained by Mehmet F. Dicle, Ph.D. (mfdicle@loyno.edu), Assistant Professor of Finance, Department of Finance, College of Business, Loyola University New Orleans. The contents of this communication are the sole responsibility of Mehmet F. Dicle and do not necessarily represent the opinions or policies of Loyola University New Orleans. Last updated on January 29, 2011. This site has been visited 367,199 times since May 27, 2009.