Lambda expressions are introduced in C++11:
More exactly, what you need is anonymous methods. Please see:
If your version of C++/CLI is new enough, you can use it on C++/CLI as well.
Please see also this article:
Using lambdas - C++ vs. C# vs. C++/CX vs. C++/CLI
And also see my comment to the question. In worst case, if you just want the functionality or the code you show, you can always define separate named functions
instead of anonymous methods.