This Excel spreadsheet implements the Black-Scholes pricing model to value European Options (both Calls and Puts). The spreadsheet allows for dividends and also gives you the Greeks

These are sample parameters and results

- Delta is the derivative of option value with respect to the underlying asset price. It’s positive for Calls and negative for Puts.
- Vega is the derivative of the option value with respect to the volatility
- Theta is the derivative of the option value with respect to time
- Rho is the derivative of the option value with respect to the interest rate

The assumptions used in deriving the model include

- constant volatility (which is not valid in the long term),
- efficient markets (hence no room for artbitrage),
- constant interest rates,
- returns are log-normal in their distribution,
- the option can only be exercised on its expiration dates (i.e. European style),
- no commision or transaction costs,
- and perfect market liquidity.

**Download the Black Scholes and Greeks Calculator for Excel **

Hi

First of all Thanks a lot for providing the Excel sheet.

Well i have a query regarding the Expiry Time.

The Expiry Time used in overall calculation is in Days or Year ?

Thanks

Pankaj Ganorkar

If the risk-free rate and volatility are annual figures, then the time to expiry is in years.

This is great. Thanks. Just one Question..What is expiry time unit. Days, months?? You are doing a great job. Keep it up buddy.

days

Thanks for providing the excel sheet,

I need to know why does the n_dash_d1equations stands for or is needed to.

2nd, In case I have no dividened shall I place zero and keep all calculations as it is or the formulas will change?

3rd, This model is compatible for Forex option or I should use another one?

Sameer ji i wants to ask that is here any difference between tradable option pricing and actual greeks mathod calculated option pricing .

If yes than how can calculate accurate option pricing in excel .

Thanks