Black-Scholes European Option With Greeks (Class Module)

A VBA module that can be used in Excel or Access, to calculate the value and greeks for a European option.

- Please note that Gamma is not calculating correctly.


  • OptionType (Enum for Call or Put)
  • StrikePrice
  • SharePrice
  • TimeToExpiry
  • RiskFreeInterestRate
  • Sigma
  • Dividend


  • Value
  • Delta
  • Gamma
  • Theta
  • Rho
  • Vega
  • ValueArray (returns value, greeks, and supplied parameters as an array)

Right-click to Save Target As: VBA_EuroOption_BlackScholes.txt

An example of this class implemented in ASP.NET/VB.NET can be found here:

CodeDotNet | Black Scholes European option Calculator

Unless otherwise stated, the content of this page is licensed under Creative Commons Attribution-ShareAlike 3.0 License