Financial Toolbox

blstheta

Syntax

[CallTheta, PutTheta] = blstheta(Price, Strike, Rate, Time, 
Volatility, DividendRate)

Arguments

Price	Current stock price.
Strike	Exercise price.
Rate	Risk-free interest rate. Enter as a decimal fraction.
Time	Time to maturity of the option in years.
Volatility	Standard deviation of the annualized continuously compounded rate of return of the stock (also known as the volatility).
DividendRate	(Optional) Enter as a decimal fraction. Default = 0.

Description
[CallTheta, PutTheta] = blstheta(Price, Strike, Rate, Time, Volatility, DividendRate) returns the call option theta CallTheta, and the put option theta PutTheta. Theta is the sensitivity in option value with respect to time.

Note:   This function uses normpdf, the normal probability density function and normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Examples

[CallTheta, PutTheta] = blstheta(50, 50, 0.12, 0.25, 0.3, 0)

CallTheta =
   -8.9630
PutTheta =
   -3.1404

See Also
blsdelta, blsgamma, blslambda, blsprice, blsrho, blsvega

References
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.

blsrho

blsvega