OptionsCalc - Jump-Diffusion
 
Model
Stock Price
Exercise Price
Value Date Click to select date
Expiration Date Click to select date
Volatility (%)
JumpSize (%)
NumJumps
Interest Rate (%)
Yield Rate (%)
Call Put
Theoretical Value
Delta
Delta 100s
Lambda (%)
Gamma
Theta
Theta (7 days)
Vega
Rho
Psi
Strike Sensitivity
Intrinsic Value
Market Option Price
Implied Volatility (%)

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Disclaimer: Option and derivative calculations are provided by Montgomery Investment Technology, Inc. All rights reserved. Calculations are provided for informational purposes only, and are not intended for trading and valuation analysis purposes. Montgomery Investment Technology, Inc. shall not be liable for any errors in the content, or for any actions taken in reliance thereon.