WebCab XL Community Edition

EuropeanTheta.ThetaFromGammaDelta Method 

We derive the theta from the delta, gamma and some other market variables for a portfolio of derivative all defined on some underlying asset.

public double ThetaFromGammaDelta(
   double Delta,
   double Gamma,
   double AssetPrice,
   double RiskFreeRate,
   double Volatility,
   double TotalValue
);

Parameters

Delta
The delta with respect to the underlying asset of the portfolio.
Gamma
The gamma with respect to the underlying asset of the portfolio.
AssetPrice
The underlying assets price.
RiskFreeRate
The continuously compounded risk free interest rate.
Volatility
The volatility of the underlying assets price.
TotalValue
The value of the whole portfolio.

Remarks

Note that for a delta neutral portfolio of derivatives on an underlying asset this expression relates the gamma and theta functions.

Excel Remarks

The full name of this function inside Excel is Option_EuropeanTheta_ThetaFromGammaDelta.

See Also

EuropeanTheta Class | Options Namespace