Black–Scholes Options Calculator
European options pricing with the Greeks, visualized.
An interactive tool for pricing European options with the Black–Scholes model, with visualizations for the Greeks.
→ github.com/varunbudati/Black-Sholes-Model
The idea
The Black–Scholes formula is easy to memorize and hard to feel. The Greeks (delta, gamma, vega, theta) are derivatives of the price with respect to things that move, and their behaviour near expiry and near the strike is where all the intuition lives.
So: sliders. Watch gamma spike as an at-the-money option approaches expiry. Watch theta accelerate. Watch vega collapse. It takes about thirty seconds of playing to internalize something that takes a chapter to explain.
Connections
Options pricing and Optimal Execution share a common ancestor. Both are continuous-time stochastic control problems, and both were made tractable by assuming prices follow a well-behaved random walk. Both fields have since spent decades carefully relaxing that assumption.
Stack: Python, Streamlit.
Related: Things I've Built