This article needs additional citations for verification. Please help improve this article by adding citations to reliable sources. Only inthemoney options have intrinsic value. Interest rate options unterest both exchange traded and overthecounter 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.
Riskfree 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 BlackScholes formula (also called BlackScholesMerton) 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


