Black-Scholes Put Delta in VBA

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



Function PutDelta(StockPrice As Double, StrikePrice As Double, TimeToExpiration As Double, Volatility As Double, RiskFreeRate As Double, DividendYield As Double)
    
    PutDelta = Exp(-DividendYield * TimeToExpiration) * (Application.WorksheetFunction.NormSDist _
        ((Log(StockPrice / StrikePrice) + (RiskFreeRate - DividendYield + (Volatility ^ 2) / 2) * TimeToExpiration) / (Volatility * Sqr(TimeToExpiration))) - 1)

End Function