Financial Toolbox

blstheta

Black-Scholes sensitivity to time-until-maturity change

Syntax

• [CallTheta, PutTheta] = blstheta(Price, Strike, Rate, Time, 
  Volatility, DividendRate)
  

Arguments

Price	Current stock price.
Strike	Exercise price.
Rate	Risk-free interest rate. Enter as a decimal fraction.
Time	Time to maturity of the option in years.
Volatility	Standard deviation of the annualized continuously compounded rate of return of the stock (also known as the volatility).
DividendRate	(Optional) Enter as a decimal fraction. Default = 0.

Description

[CallTheta, PutTheta] = blstheta(Price, Strike, Rate, Time, Volatility, DividendRate) returns the call option theta CallTheta, and the put option theta PutTheta. Theta is the sensitivity in option value with respect to time.

Note    This function uses normpdf, the normal probability density function and normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Examples

• [CallTheta, PutTheta] = blstheta(50, 50, 0.12, 0.25, 0.3, 0)
  
  CallTheta =
     -8.9630
  PutTheta =
     -3.1404
  

See Also

blsdelta, blsgamma, blslambda, blsprice, blsrho, blsvega

References

Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.

blsrho

blsvega