# Binary call option vega and finite vega

In Excel the formula looks like this:. There are two more minus signs in the put rho formula. T is the number of days per year. If you want to keep it simple, you can replace the whole last line of the formula with a fixed number, such as

All information is for educational purposes only and may be inaccurate, incomplete, outdated or plain wrong. This is the second part of the Black-Scholes Excel guide covering Excel calculations of option Greeks delta, gamma, theta, vega, and rho under the Black-Scholes model. In Excel the formula looks like this:

See the first part for details on parameters and Excel formulas for d1, d2, call price, and put price. Home Calculators Tutorials About Contact. It is simply a product of two parameters strike price and time to expiration and cells that I have already calculated in previous steps:

I will continue in the example from the first part to demonstrate the exact Excel formulas. Call Option Theta The whole formula for call theta in our example is in cell X You can again see the familiar term at the end. Tutorial 1 Tutorial 2 Tutorial 3 Tutorial 4.

It is simply a product of two parameters strike price and time to expiration and cells that I have already calculated in previous steps: Option Greeks Excel Formulas. You can again find the explanation of all the individual cells in the first part or see all these Excel calculations directly in the calculator.

Cell C20 in the calculator contains a combo where users select calendar days or trading days. Cells D3 and D4 in the sheet Time Units contain the number of calendar and trading days per year. Delta is different for call and put options. There is nothing new. It is long and uses several 10 other cells, but there is no high mathematics:

Make sure to put the minus sign to the beginning:. You can again find the explanation of all the individual cells in the first part or see all these Excel calculations directly in the calculator. If you want to keep it simple, you can replace the whole last line of the formula with a fixed number, such as The formula for gamma is the same for calls and puts.

Delta is different for call and put options. Call Option Theta The whole formula for call theta in our example is in cell X Rho is again different for calls and puts. This is the second part of the Black-Scholes Excel guide covering Excel calculations of option Greeks delta, gamma, theta, vega, and rho under the Black-Scholes model. Tutorial 1 Tutorial 2 Tutorial 3 Tutorial 4.