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Theta of a call option formula

Description of the Theta of a call option formula

Formula for the calculation of the theta of a call option. Theta measures the option value's sensitivity to the passage of time.

Formula

θ=Sϕ(d1)σ2trKertN(d2)where:ϕ(d1)=ex222π; d1=ln(SK)+(r+σ22)tσt; d2=d1σt 

Symbols

K        
Option strike price
N        
Standard normal cumulative distribution function
r        
σ        
S        
Price of the underlying
t        
Time to option's expiry