The option calculator is a simple to use utility to calculate option prices using stable distributions.
In order to calculate the price of an option you have to supply a number of parameters. These are described below.
| Price of underlying security: | The price of the security on which the option is written. If the option is written on an index, this should be the index value. |
| Strike price: | The price at which the option may be executed. You must enter at least one strike price in order to calculate option prices. |
| Trading days to expiry: | The number of trading days until the option expires. Do not count holydays. |
| Interest rate: | The short term interest rate. |
| Alpha value: | The alpha value to use. Typical values are between 1.8 and 2.0. A value of 2.0 means that the Black-Scholes model will be used. The alpha value basically measures the frequency of market crashes. A lower alpha value implies more frequent market crashed. An alpha value of 2.0 indicates that there are never any market crashes. |
| Spread value: | The spread value tells you how much the underlying security moves in a day. For the Black-Scholes model, the spread value is about equal to 0.7 times the daily volatility. |
Good trading, and may the force be with you.
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