BSM Option Pricing & Greeks Calculator 🧮📈

Author: Naman Narendra Choudhary Repo: LIGHTARK-2903/BSM-Option-Pricing

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🔹 What is this

This repository contains a simple but fully functional tool to compute theoretical prices and “Greeks” (Delta, Gamma, Vega, Theta, Rho) of European-style stock options using the classic Black–Scholes–Merton model (BSM).

Using standard inputs — underlying stock price, strike price, implied volatility, time to maturity, risk-free rate — the model returns fair option price and risk-sensitivities that help in portfolio analysis, risk management and option pricing studies. :contentReference[oaicite:1]{index=1}

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🔧 Features

• Calculation of Call and Put option prices using BSM formula
• Outputs all major Greeks: Delta, Gamma, Vega, Theta, Rho
• Flexible input fields (spot price, strike, volatility, expiry, interest rate)
• Option chain / scenario-analysis capable via Excel / Jupyter Notebook
• Exportable to CSV / Excel for further analysis
• Ideal for students, traders, or anyone interested in derivatives pricing

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📂 Repository Structure

File / Folder	Purpose
BSM Option Pricing and Greek Values.xlsx	Excel-based calculator — user-friendly spreadsheet version
BSM_Option_Pricing_and_Greeks_LightarkFinance.ipynb	Jupyter Notebook implementation (Python)
requirements.txt	Dependencies required for Python version
all_greeks.png	Sample output graphs / visuals (if any)
README.md	This file

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🚀 How to Use

Option A — Excel

1. Open BSM Option Pricing and Greek Values.xlsx
2. Fill in the inputs: Spot Price, Strike Price, Volatility (%), Time to Expiry (in years), Risk-free Rate (%)
3. Results (Call / Put price + Greeks) will auto-update via inbuilt formulas

Option B — Python (Notebook)

git clone https://github.com/LIGHTARK-2903/BSM-Option-Pricing.git  
cd BSM-Option-Pricing  
pip install -r requirements.txt  
jupyter notebook BSM_Option_Pricing_and_Greeks_LightarkFinance.ipynb