Calculate any Option Greek using the Black Scholes Formula in Python

Inputs in Black-Scholes Option Pricing Model Formula

• S0 = underlying price
• X = strike price
• σ = volatility
• r = continuously compounded risk-free interest rate
• q = continuously compounded dividend yield
• t = time to expiration

For,

• σ = Volatility = India VIX has been taken.
• r = 10% (As per NSE Website, it is fixed.)
• q = 0.00% (Assumed No Dividend)

Note: In many resources, you can find different symbols for some of these parameters in the Black Scholes Formula. For example,

• The strike price is often denoted K (Here it is X).
• The underlying price is often denoted S (without the zero)
• Time to expiration is often denoted T – t (difference between expiration and now).

In the original Black and Scholes paper (The Pricing of Options and Corporate Liabilities, 1973) the parameters were denoted x (underlying price), c (strike price), v (volatility), r (interest rate), and t* — t (time to expiration) in Black Scholes Formula. The dividend yield was only…