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. Pankaj Ganorkar says:

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

1. 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.