Black-Scholes European Pricer

Price and Greeks computed in-browser via C++17 compiled to WebAssembly. No server round-trip. All computation is exact closed-form.

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Model assumptions

Underlying follows geometric Brownian motion: dS = (r−q)S dt + σS dW
Constant risk-free rate r, dividend yield q, and volatility σ
Continuously compounded rates; annualised volatility in decimal form
No transaction costs, continuous trading, no arbitrage
European exercise only (no early exercise premium)

Known limitations

Constant volatility: the model cannot capture the volatility smile or skew
Log-normal returns: tail risk (fat tails, jumps) is not captured
Continuous hedging: discrete hedging induces realised P&L noise not modelled here
Discrete dividends require adjustment (cum/ex-dividend repricing)