Microsoft PowerPoint - PoF.ppt

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Theta: change of the option price given a change in t.In other words, theta measures how fa

st the value of the option changes

as time goes by, all other things equal.

ƒ

Black-Scholes theta of a call with

E = 100, T = 1y, r = 10% p.a. and

σ

=

20% p.a..

(

)

()

p t

Put

d

N

rEe

d T

SN

c t

Call

rT

∂ ∂

=

Θ

−

−

=

∂ ∂

=

Θ

−

:

&

2

2

1

'

:

σ

Derivative securities: Options - Black-Scholes modelGreeks