Index - FinCalcs.NET

OPTIONS Binomial

This calculator uses the Binomial option pricing model to calculate the fair value of both American and European-style call and put options. To use the calculator please complete the input fields in the calculator below.

This FinCalcs.NET calculator is currently displayed in READ ONLY mode. Calculation will be enabled once you've logged in.

Inputs

Model

Underlying Price

Exercise Price

Value Date

Early-Exercise Date

Expiration Date

Volatility

Interest Rate

Dividend Amount

Dividend Frequency

Ex-Dividend Date

Market Call Price

Market Put Price

Results

Function

Call

Put

Theoretical Value

Delta

Gamma

Gamma 1%

Theta

Vega

Intrinsic Value

Time Value

Zero Volatility

Delta 100's

Lambda

Theta (-7 Days)

Rho

Psi

Strike Sensitivity

Implied Volatility

FinCalcs.NET calculations are powered by FinTools® from Montgomery Investment Technology, Inc. All rights reserved. Information is provided for educational and informational purposes only, and is not intended for trading and professional valuation purposes. Montgomery Investment Technology, Inc. shall not be liable for any errors in the content, or for any actions taken in reliance thereon.

Resources

FinTools OPTIONS XL
Optional Early Exercise