Black-Scholes option pricing greeks

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We set out below links to pages containing analytical formulae for the prices and greeks for (European-style) vanilla put and call options and binary put and call options, in a Black-Scholes world, see also e.g. Wilmott (2007). The relevant pages contain links to pages that allow you to calculate these prices and Greeks interactively or programmatically.


-          (Vanilla) calls

-          (Vanilla) puts

-          Binary calls

-          Binary puts




Throughout these pages we use the following notation:


Input parameters:


 = strike price

 = price of underlying

 = interest rate continuously compounded

 = dividend yield continuously compounded

 = time now

 = time at maturity

 = implied volatility (of price of underlying)


Formulae elements:



N.B.  and .


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