opt_bs_call_theta

Name

opt_bs_call_theta -- 

Synopsis

opt_bs_call_theta(strike,price,volatility,days_to_maturity,rate)

Description

Uses the Black-Scholes model to calculate the "theta" of a European call option struck at @strike on an asset with price @price.

(The theta of an option is the rate of change of its price with respect to time to expiry.)

@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. @days_to_maturity the number of days to exercise, and @rate is the risk-free interest rate to the exercise date, in percent.

The returned value will be expressed as minus the rate of change of option value, per 365.25 days.

Examples

See also

opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma.