blstheta (Financial Toolbox)

Black-Scholes sensitivity to time-until-maturity change.

Syntax

[ct, pt] = blstheta(so, x, r, t, sig, q)
[ct, pt] = blstheta(so, x, r, t, sig)

Arguments

so: Current stock price.

x: Exercise price.

r: Risk-free interest rate. Enter as a decimal fraction.

t: Time to maturity of the option in years.

sig: Standard deviation of the annualized continuously compounded rate of return of the stock (also known as the volatility).

q: Dividend rate. Enter as a decimal fraction. Default = 0.

Description

[ct, pt] = blstheta(so, x, r, t, sig, q)

returns the call option theta ct, and the put option theta pt. 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.

Example

[ct, pt] = blstheta(50, 50, 0.12, 0.25, 0.3, 0)
ct =
   -8.9630
pt =
   -3.1404