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Option Greeks Calculation in Excel
Option Greeks Calculation in Excel
Inputs
Stock Price 25320
Strike Price 25500
Risk free rate 7%
A Volatility 17%
Dividend Yield 0
Period (year) 0.0082
d1 -0.4146
d2 -0.4300
BS Call Price 87.24
BS Put Price 252.58
Option Greeks
N'(d1) Err:508
Delta 0.34
Theta #ERROR!
Gamma #ERROR!
Vega #ERROR!
Rho 69.88
Option Greeks Calculation
Inputs
Stock Price 19.93
Strike Price 17
Risk free rate 2%
A Volatility 50%
Dividend Yield 0
Period (year) 0.1096
d1 1.0567
d2 0.8912
BS Call Price 3.23
BS Put Price 0.27
Option Greeks
N'(d1) 0.70
Delta 0.85
Theta -10.77
Gamma 0.211
Vega 4.60
Rho 1.51