What is a European currency option worth with these inputs?
ECB reference fixing: 2026-11-13. Reference rates are not execution prices.
BRL policy preset: 2026-11-13.
USD policy preset: 2026-11-12, Fed target midpoint.
Garman-Kohlhagen assumes European exercise, constant volatility and continuously compounded rates, and a 365-day year.
A call buys one base currency unit. Premium and chart values use quote currency per base unit. Greeks are per base unit.
Policy rates are editable proxies, not maturity-matched funding rates. Type volatility; no market option data are used.
The chart subtracts the initial premium without financing it. Delta is per unit spot move; gamma is its slope. Theta is per day; vega and rhos are per percentage point.
The result date is the calculation day. Preset observation dates can differ.
Source: ECB and the named central banks. No endorsement is implied.
Source: BCB SGS 432, ODbL 1.0. Public derived databases retain attribution and share-alike obligations.
Complete every input, including volatility, to calculate a premium.
ECB euro reference exchange rates
European Central Bank
Brazil Selic target
Banco Central do Brasil
New York Fed reference rates
Federal Reserve Bank of New York