The electronic and optical properties of BeO in wurtzite bulk and sheet structures are investigated by using ab-initio density functional theory calculations combined with many-body perturbation formalism. The electronic properties were analyzed at three levels of the many-body GW approach (G0W0, GW0 and GW) constructed over a Generalized Gradient Approximation functional. Our results show that GW approach does not change the sort of direct or indirect band gap in bulk or sheet systems of BeO. The best result for the insulating gap of the bulk system was obtained at the GW0 level. The optical properties and excitonic effects of these materials are investigated using the Bethe-Salpeter equation (BSE) approach. Comparison with experiment shows that the optical properties of the bulk system cannot be explained by independent-particle transitions but they are strongly dominated by excitonic effects. The binding energies of the first exciton for the bulk and sheet structures are 0.5 and 1.5 eV in E||x, respectively. The quantum confinement of BeO sheet significantly enhances the electron-hole interaction and finally leads to a larger binding energy. We show that the spectrum for both bulk and sheet systems is dominated by strongly bound Frenkel excitons.