calltheta {optionstrat}

Call Theta

Description

Calculates the theta of the European- style call option

Usage

calltheta(s, x, sigma, t, r, d = 0)

Arguments

s

Spot price of the underlying asset

x

Strike price of the option

sigma

Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns

t

Time to maturity in years

r

Annual continuously-compounded risk-free rate, use the function r.cont

d

Annual continuously-compounded dividend yield, use the function r.cont

Details

Theta is the "time-decay" of the option value measured as a daily value

Value

Returns the call theta

Examples

calltheta(100, 100, 0.20, (45/365), 0.02, 0.02)