Black-Scholes Option Pricing and Greeks Calculator for Excel

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


6 thoughts on “Black-Scholes Option Pricing and Greeks Calculator for Excel

  1. 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

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

  3. 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?

  4. 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

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