The Black-Scholes model is a mathematical formula used to determine the theoretical price of European-style options. It assumes that the price of the underlying asset follows a geometric Brownian motion with constant drift and volatility. While it has limitations, it remains a fundamental tool for option pricing and risk management in financial markets.

The “Greeks” are a set of risk measures that indicate how sensitive an option’s price is to changes in certain parameters. They are essential for traders to manage the risk of their option positions.

• Delta: Measures the change in the option price for a ₹1 change in the stock price.
• Gamma: Measures the rate of change of Delta. It indicates how much Delta will move for a ₹1 change in the stock price.
• Theta: Measures the rate of time decay, showing how much value an option loses each day as it approaches expiry.
• Vega: Measures sensitivity to volatility. It shows how much the option price changes for every 1% change in the underlying’s implied volatility.
• Rho: Measures sensitivity to the risk-free interest rate. It shows the change in option price for a 1% change in interest rates.

This calculator provides theoretical values for informational purposes ONLY and is not financial advice.

The Black-Scholes model is based on several assumptions (e.g., constant volatility, no dividends, efficient markets) that may not hold true in real-world markets. The calculated prices can differ from actual market prices. Do not base any investment decisions solely on the output of this tool. Always consult with a qualified financial advisor.