Price calls and puts with a binomial model, then compare target, stop-loss, residual value, and strike-optimization scenarios.
User Bid Price Override
Exit Pricing
Strike Optimization Chart
The calculator estimates an American-style option value using a binomial tree. Enter the current stock price, strike price, time to expiration, risk-free rate, dividend yield, and volatility. The model then projects a lattice of possible prices and works backward to estimate the option value.
The target and stop-loss fields estimate what the option may be worth before expiration if the underlying stock reaches a specific price. This is useful when the trade plan is to exit early rather than hold to expiration.
A binomial option model estimates value by stepping through possible up and down outcomes. It is useful when you want to see how payoff, probability, and residual value affect a call or put-style decision.
The model builds a simple decision tree. At each step, the underlying value can move up or down. The expected payoff is discounted back to the present using the selected rate.
Delta estimates how sensitive the option value is to a change in the underlying asset. It is an approximation, not a guarantee.
If an asset is worth $100 today and the exercise price is $110, a call option has value only when future upside is large enough to clear the strike. Higher volatility or more time generally increases option value because there are more paths where the payoff lands in the money.
The calculator makes that tradeoff visible by changing the modeled payoff and delta.
Use this model for rough option-style decisions: earnouts, warrants, staged acquisitions, buyout rights, or situations where the payoff depends on future value crossing a threshold.
For listed securities, professional pricing should also consider market data, dividends, liquidity, exercise rules, and more advanced models.
Do not treat the model value as a quoted market price. The result is only as good as the assumptions for volatility, time, rate, and payoff.
Run conservative and optimistic scenarios so the output becomes a range instead of a single fragile number.
No. This page uses a binomial-style approach. Both are option pricing frameworks, but they structure the calculation differently.
Delta approximates how much the option value changes for a one-unit move in the underlying asset.
More volatility creates more upside paths for an option holder while losses are limited by the option payoff structure.
Use it for learning and rough scenarios. Actual listed option prices depend on live market inputs and contract-specific terms.