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

Price9.3197

Delta0.5927

Gamma0.0191

Vega / 1 vol pt0.3828

Theta / day-0.0143

Rho / 100bp0.4996

OPTION VALUEPrice across spot

Model Intrinsic

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

d₁ = 0.2500 · d₂ = 0.0500