Function File: [CallTheta, PutTheta] = blstheta (Price, Strike, Rate, Time, Volatility)
Function File: [CallTheta, PutTheta] = blstheta (Price, Strike, Rate, Time, Volatility, Yield)

Compute the Black-Scholes theta.

  • Variable: Price The current price of the underlying asset.
  • Variable: Strike The strike price the option is written on.
  • Variable: Rate The risk-free interest rate.
  • Variable: Time The time-to-expiry.
  • Variable: Volatility The volatility of the underlying asset.
  • Variable: Yield (Optional, default = 0) Annualized, continuously compounded rate of dividends of the underlying asset.

Computes the Black-Scholes theta, the rate of change of the option value with respect to the time-to-expiry.

See also: blsdelta, blsgamma, blslambda, blsprice, blsrho, blsvega.

Package: financial