Question: How do I compute call and put delta for a range of stock prices in excel? Black-Scholes Pricing Stock Price $34.50 Exercise Price $40.00 Years

How do I compute call and put delta for a range of stock prices in excel?

Black-Scholes Pricing Stock Price $34.50 Exercise Price $40.00 Years to Maturity 2.50 Risk free Rate 4.50% Volatility 0.2 0.046105597 N(d 1) 0.518386957 d2 -0.270122169 N(d2) 0.393533134 European Call Value $3.82 European Put Value $5.06 Stock Price Call Value Call Delta Put Value $20.00 Put Delta $0.11 $20.50 $15.85 $0.13 $15.38 $21.00 $0.16 $21.50 $14.91 $0.20 $22.00 $14.44 $0.24 $22.50 $13.98 $0.28 $23.00 $13.53 $0.33 $13.08 $23.50 $0.39 $24.00 $12.64 $0.46 $24.50 $12.20 $0.53 $11.77 $25.00 $0.61 $11.35

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