# 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.

2. Maddy says:

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. nada says:

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. nitin saxena says:

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