WebCab XL Community Edition

EuropeanTheta.CallTheta Method (Double, Double, Double, Double, DateTime, DateTime, String)

This method calculates the theta per year of a European call option on a non-dividend-paying stock.

public double CallTheta(
   double StockPrice,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   DateTime EvaluationDate,
   DateTime MaturityDate,
   string CalendarName
);

Parameters

StockPrice
The value of the underlying stock.
Strike
The strike of the call option.
RiskFreeRate
The continuously compounded risk free interest rate.
Volatility
The volatility of the underlying stock price.
EvaluationDate
The date when the theta of the option contract is evaluated.
MaturityDate
The date when the option contract matures.
CalendarName
(Optional) The name of one of the implemented business calendars, "London" by default.

Remarks

The full name of this function inside Excel is Option_EuropeanTheta_CallTheta.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.CallTheta Overload List