Black-Scholes Option Pricing and Greeks Using Excel’s “LAMBDA” Function

Authors

Tom Arnold, University of RichmondFollow
Joseph Farizo, University of RichmondFollow
Jonathan M. Godbey

Abstract

The =LAMBDA function within Excel provides a powerful new tool for investors and analysts. In this treatment, we show how to create a function that calculates an option’s intrinsic value, price, and delta based on the Black-Scholes model. Other option Greek functions and calculations are available in a downloadable file. The LAMBDA function is not limited to the Black-Scholes model and has important advantages over Excel’s previous solution of creating user-defined functions in VBA.

Document Type

Working Paper

Publication Date

2024

Recommended Citation

Arnold, Tom, C., Joseph Farizo, Jonathan M. Goodbey. "Black-Scholes Option Pricing and Greeks Using Excel’s “LAMBDA” Function," University of Richmond Robins School of Business, (2024): 1-10.