QUANT LAB · CONTROLLED EXPERIMENTS

TOUCH THE MODEL.

Change one assumption. Watch every dependent output react.

EXPERIMENT 01

Black-Scholes Playground

Move the state variables, then read price and hedge sensitivities as one connected system.

European option · continuous rates/dividend · no transaction costs

GUIDED EXPERIMENT

Load a coherent example, observe the linked calculation, then return to unrestricted manual exploration.

New here? Start with one example and change only the suggested input.

First try

Price9.3197

Delta0.5927

Gamma0.0191

Vega / 1 vol pt0.3828

Theta / day-0.0143

Rho / 100bp0.4996

OPTION VALUEPrice across spot

Value (currency units) by Spot

Black–Scholes model value and intrinsic value across spot.

Spot: 45. Model: 0.0002. Intrinsic: 0.0000.

Use Left/Right or Up/Down arrows to inspect values; Home and End jump to the bounds.

PRICING FORMULAC = S e^−qTN(d₁) − K e^−rTN(d₂)

d₁ = 0.2500 · d₂ = 0.0500