Garman–Kohlhagen FX option pricer
In short
Black–Scholes with two interest rates.
Interactive: Garman–Kohlhagen FX option pricerMedium
Black–Scholes with two interest rates: the foreign rate plays the role a dividend yield plays for stocks. The standard model every FX option quote passes through.
- Call premium (quote ccy)
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- Put premium
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- Forward rate
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- Call delta
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Premium per unit of base currency, in quote-currency terms. Note the forward: with the domestic rate above the foreign, it sits above spot — covered interest parity inside the option model. Real quotes add the smile (see the fold above).
The idea behind it
This calculator belongs to FX Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- FX Option — The right to exchange currencies at a set rate — hedging with the upside left open.
- FX Barrier Option — Options with trapdoors: touch a barrier level and they spring to life — or vanish, premium and all.
- FX Digital Option — All or nothing: a fixed payout if the rate ends (or trades) beyond a level. Probability, directly priced.
- FX Accumulator — Buy currency at a discount, week after week — until the market moves, and the contract quietly doubles your obligation at the worst moment.
- Target Redemption Forward — A hedge that pays a better rate than the market until it has paid enough — then it stops protecting you and starts multiplying against you.
- Quanto Option — An option on a foreign asset that pays in your own currency at a fixed rate. The FX risk vanishes from the payoff and reappears, priced, as a correlation term.
More calculators from FX Derivatives
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