Q4QUANT / INTERACTIVE LAB
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01 / DERIVATIVES
Options pricing
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Theoretical price$10.45European call
Intrinsic value$0.00Exercise value today
Price less intrinsic$10.45Includes carry and optionality
VOLATILITY (%)
60708090100110120130140
60%
50%
40%
30%
20%
10%
0%
UNDERLYING PRICE (USD)
$0.00$55.48Option value
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About this model +
Black–Scholes–Merton values European calls and puts with constant volatility, continuously compounded interest and a continuous dividend yield. It excludes fees, discrete dividends and early exercise. These are theoretical scenarios, not market quotes. At zero time the price equals payoff; at zero volatility it equals discounted deterministic payoff. Model reference ↗