A closer look at Black–Scholes option thetas
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References listed on IDEAS
- San‐Lin Chung & Mark Shackleton, 2002. "The Binomial Black–Scholes model and the Greeks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(2), pages 143-153, February.
- N/A, 1996. "Note:," Foreign Trade Review, , vol. 31(1-2), pages 1-1, January.
- 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 637-654, May-June.
- MacBeth, James D & Merville, Larry J, 1979. "An Empirical Examination of the Black-Scholes Call Option Pricing Model," Journal of Finance, American Finance Association, vol. 34(5), pages 1173-1186, December.
More about this item
KeywordsBlack–Scholes option pricing model; Option theta; Time decay; G10; G12;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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