I think the following options calculator of the broker Interactive Brokers is BUGGY! : https://www.interactivebrokers.com/en/trading/options-calculator.php It seems it works with a different number of days in year than 365 or 365.25 or 366 or 252. And there is also no documentation about this fact on that page. Anybody can figure out where the bug lies in that tool? Is it in the definition of year or rather in their implementation of the BSM algorithm? What a shame for such a finance & brokerage company! It's even a listed publicly traded company... . The following result is IMO buggy... The correct premium should be 13.892037, not 13.77678. And the Greeks are wrong as well, caused by the wrong result for the premium :
I'm assuming that you have compared the results from the IB calculator with something else? Why do you think the discrepancy is coming from the IB calculator and not the other? I'm not saying that the IB calculator is right, just trying to understand your point.
B/c I'm 100% sure Of course I compared it with my own BSM algo as well with others on the web, like https://optioncreator.com/options-calculator
This thread was originally opened in the Options board, but a dictator silently has moved it to here...
After you provided your inputs to that model, to allow us to observe.... It seems you may be correct! -- It may be only issue with their days per year, but also, due to my limited observation, be related to other precision issue. -- I checked against: "http://www.option-price.com/index.php", which I have not vetted, but does differ from the IB reference.
What result do you get? B/c it seems another buggy calculator as it crashes when called, gives a dumbo text " Operation Interrupted The calculator was interrupted, either by you resizing your browser window or hitting the "refresh" button more than once."
This seems to match that of OP and differs from IB as well. BTW: This Hoadley model seems to agree with "http://www.option-price.com/index.php" with my very limited spot check.
@rb7 is right... they're using Cox-Ross-Rubinstein. If you want to double check the implementation then "use the source luke": https://www.interactivebrokers.com/scripts/common/js/2015/options-calculator.js?ver=1