WebCab XL Community Edition

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

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,
   double TimeToMaturity
);

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.
TimeToMaturity
The length of time until the option expires.

Remarks

The full name of this function inside Excel is Option_EuropeanTheta_CallTheta_ByTimeSpans.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.CallTheta Overload List