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.
Properties
- OptionType (Enum for Call or Put)
- StrikePrice
- SharePrice
- TimeToExpiry
- RiskFreeInterestRate
- Sigma
- Dividend
Methods
- 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: