Black-Scholes Call Delta in VBA

Here is a VBA function that easily allows you to calculate the Black-Scholes delta on any call option.




Function CallDelta(StockPrice As Double, StrikePrice As Double, TimeToExpiration As Double, Volatility As Double, RiskFreeRate As Double, DividendYield As Double)
    
    CallDelta = Exp(-DividendYield * TimeToExpiration) * Application.WorksheetFunction.NormSDist _
        ((Log(StockPrice / StrikePrice) + (RiskFreeRate - DividendYield + (Volatility ^ 2) / 2) * TimeToExpiration) / (Volatility * Sqr(TimeToExpiration)))
        
End Function