WebCab XL Community Edition

EuropeanTheta.CallThetaWithYield Method (Double, Double, Double, Double, Double, Double)

Returns the theta of a European call option on an asset paying a continuous yield (for example an option on a index).

public double CallThetaWithYield(
   double Yield,
   double StockPrice,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   double TimeToMaturity
);

Parameters

Yield
The continuous yield of the underlying asset.
StockPrice
The value of the underlying stock price.
Strike
The strike of the call option.
RiskFreeRate
The continuously compounded risk free interest rate.
Volatility
The volatility of the underlying stock price.
TimeToMaturity
The length of time until the option expires.

Remarks

The full name of this function inside Excel is Option_EuropeanTheta_CallThetaWithYield_ByTimeSpans.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.CallThetaWithYield Overload List