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A closer look at Black–Scholes option thetas

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Author Info
Douglas Emery ()
Weiyu Guo ()
Tie Su ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s12197-007-9000-8
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Publisher Info
Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 32 (2008)
Issue (Month): 1 (January)
Pages: 59-74
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Handle: RePEc:spr:jecfin:v:32:y:2008:i:1:p:59-74

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Related research
Keywords: Black–Scholes option pricing model; Option theta; Time decay; G10; G12;

References listed on IDEAS
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  1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
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This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.