This article needs additional citations for verification. Please help improve this article by adding citations to reliable sources. Only in-the-money options have intrinsic value. Interest rate options unterest both exchange traded and over-the-counter instruments. An investor taking a long position in interest rate call options believes that interest rates will rise, while an investor taking a position in interest rate put options believes that interest rates will fall.
Risk-free rate:The vree risk free rate of return. This value should be entered in decimal format (e.g., 4% should be entered as 0.04).Spot price:The current price of the underlying stock.Strike price:The price at which the option contract can be exercised.Time to maturity (days):The time (in days) until the option contract expires.Volatility:The extent to which the returns of the underlying stock will fluctuate between now and the expiration of the option contract.
The Black-Scholes formula (also called Black-Scholes-Merton) was the first widely used model for option pricing. It has 18 probability distributions with a wide array of reporting capabilities. It also features a sensitivity analysis tool to determine critical inputs to the model.
Risk free interest rate put option calculator