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BSM Greeks — 3D Visualization
S0
500
sigma
0.20
r
0.040
q
0.015
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Assumptions
Level 1
Level 2
Model Assumptions & Scope
×
Framework
: Black–Scholes–Merton (BSM), European options, no early exercise.
Dynamics
: Underlying follows GBM with constant drift and volatility (Base).
Rates/Dividends
: Constant risk-free rate r and continuous dividend yield q.
Implied Vol
: Base uses constant σ; Advanced supports SVI surface (market flavor).
Greeks
: All Greeks are analytical under BSM; shown per year units when applicable.
Numerics
: Stability clamps: T ≥ 0.02, σ ≥ 0.05, |d₁|,|d₂| ≤ 8; WebGL surfaces with LOD.
Axes
: k = ln(K/F(T)) where F(T) = S·e^{(r−q)T}; ATM at k=0.
Scope
: Educational visualization; not investment advice; no guarantees of market completeness.
Limits
: No American exercise, jumps, stochastic rates/vol, or transaction costs.