Theoretical Option Price Calculator

This is a web based tool allowing you to calculate an option's theoretical fair value. You can also perform a detailed statistical analysis of an option. 

No download is required to use the tool.

> Theoretical Option Price Calculator

The calculator contains links to a help page.

You can also view the following online demos, which take you through the features of the calculator. Please allow about 20 seconds for the demos to load. Note: You are not required to download software to view these demonstrations.

The 'Basic features' demo shows how to calculate an option's theoretical fair value, and demonstrates how you can alter the value of variables such as volatility or interest rates to see how the option's value is affected. The demo takes around five minutes.

> View a demo

The 'Advanced features' demo shows how to perform a more detailed statistical analysis of an option, and how to analyse pricing derivatives such as delta, gamma, and the other 'Greeks'. The demo takes around five minutes.

> View a demo of the calculator's advanced features