Capstone · Calculus II · Spring 2026 · University of Austin

Pricing a real call option
on the S&P 500.

C = S_{0} Φ (d_{1}) - K e^{- r T} Φ (d_{2})

Contract SPX261120C07900000 SPX European call · strike 7,900 · expires Nov 20, 2026

S_{0}

= 7,414

K

= 7,900

T

= 0.523 yr

r

= 0.036

σ

= 0.1946

C_{mkt}

= $180.30

Nathaniel Freed · May 2026 · download PDF

Pricing a real call optionon the S&P 500.