Black-Scholes Option Calculator

Introduction

An interactive calculator for pricing European call and put options using the Black-Scholes model. This project was born out of a desire to deepen my understanding of derivatives pricing through building, not just reading.

Why I Built This

To apply first-principles thinking and experiment hands-on with financial models. I used AI to help generate the initial code, then iteratively tested, refined, and expanded it — combining human insight with AI assistance to better understand the math behind option pricing.

Key Features

• Real-time Black-Scholes pricing for call and put options
• Inputs for spot price, strike, volatility, interest rate, and time to maturity
• Clean UI with immediate results
• Fully open-source and hosted online

Technical Implementation

The calculator uses the standard Black-Scholes formulas:

$$C = S N(d_1) - K e^{-rT} N(d_2)$$ $$P = K e^{-rT} N(-d_2) - S N(-d_1)$$

Where:

$$d_1 = \frac{\ln(S/K) + (r + \sigma^2 / 2)T}{\sigma \sqrt{T}}, \quad d_2 = d_1 - \sigma \sqrt{T}$$

The implementation includes:

• Interactive sliders for all input parameters
• Real-time price updates
• Visual charts showing the impact of each parameter
• Detailed explanations of the underlying mathematics

Learning Outcomes

This tool reflects my approach to learning quantitative finance — by building practical tools, collaborating with AI, and working through complexity one model at a time. The process of building this calculator helped me:

• Deepen my understanding of option pricing theory
• Practice implementing complex mathematical formulas
• Learn how to create intuitive visualizations of financial concepts
• Experience the value of AI-assisted development in learning complex topics

Try It Out

You can try the calculator at quant.inthisone.com/tools/black-scholes or view the source code on GitHub.