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