roptions (version 1.0.3)

put.theta: Put Theta

Description

Calculate the Theta (Option Greek) of Option Contract

Usage

put.theta(s, k, t, sd, r, d = 0)

Arguments

s

Spot Price of Underlying Asset

k

Exercise Price of Contract

t

Time to Expiration

sd

Volatality

r

Risk free rate of return

d

Divident Yield (use cont.rate()), Default: 0

Value

Output gives the Theta of a Option Contract.

Details

Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.

Examples

# NOT RUN {
put.theta(100, 105, 0.25, 0.35, 0.0488)
# }