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Intermediate

Introduction to Options Pricing Models: Black-Scholes Explained

A rigorous but accessible walkthrough of how options are actually priced, built for aspiring quant analysts, prop trading applicants, and traders who want to move past chart-reading into the math underneath. Covers geometric Brownian motion, risk-neutral valuation, the Black-Scholes formula step by step, and the Greeks that drive real hedging decisions. Uses Nifty and Bank Nifty option chains, India VIX, and Zerodha/NSE data throughout so every formula lands on a real, checkable Indian market number.

MODULES

4

DURATION

~2.5 hrs

TRACK

Quantitative Finance

Access Level

LEARNER

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Curriculum Breakdown

Chapter 1: Why Options Need a Pricing Model

4 Lessons

What Is Option Pricing, and Why Intuition Fails9 min read

Intrinsic Value, Time Value, and the Moneyness of an Option8 min read

The Problem Black-Scholes Was Built to Solve9 min read

From Binomial Trees to a Closed-Form Formula: A Quick History8 min read

Chapter 2: Building Blocks: Randomness, Volatility, and Brownian Motion

4 Lessons

Modeling Stock Prices as Random Walks9 min read

Geometric Brownian Motion and the Lognormal Assumption10 min read

Volatility: Historical vs Implied, and Why It Drives Option Prices9 min read

The Assumptions Behind Black-Scholes and Where They Break Down10 min read

Chapter 3: The Black-Scholes Formula, Step by Step

4 Lessons

Risk-Neutral Valuation: The Core Idea Behind the Formula10 min read

Breaking Down d1, d2, and What N(d1) and N(d2) Actually Mean11 min read

Pricing a Nifty Call Option Step by Step11 min read

Put-Call Parity and Checking Your Black-Scholes Output9 min read

Chapter 4: The Greeks: Reading an Option's Sensitivities

4 Lessons

Delta and Gamma: How Price Moves With the Underlying9 min read

Theta and Vega: Time Decay and Volatility Sensitivity9 min read

Rho and the Minor Greeks: Completing the Picture8 min read

Using the Greeks Together: A Practical Risk Read on a Zerodha Options Position10 min read