call.theta: Call Theta
In roptions: Option Strategies and Valuation
Description
Usage
Arguments
Details
Value
Examples
Description
Calculate the Theta (Option Greek) of Option Contract
Usage
1
call.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
Details
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.
Value
Output gives the Theta of a Option Contract.
Examples
1
call.theta(100, 105, 0.25, 0.35, 0.0488)
roptions documentation built on July 8, 2020, 7:30 p.m.
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Description Usage Arguments Details Value Examples
Description
Calculate the Theta (Option Greek) of Option Contract
Usage
1 | call.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 |
Details
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.
Value
Output gives the Theta of a Option Contract.
Examples
1 | call.theta(100, 105, 0.25, 0.35, 0.0488)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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