WebCab XL Community Edition

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

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

public double PutTheta(
   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 put 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_PutTheta.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.PutTheta Overload List