Black-Scholes sensitivity to time-until-maturity change

`[CallTheta, PutTheta] = blstheta(Price, Strike, Rate, Time,`

Volatility, Yield)

| Current price of the underlying asset. |

| Exercise price of the option. |

| Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |

| Time to expiration of the option, expressed in years. |

| Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number. |

| (Optional) Annualized, continuously compounded yield
of the underlying asset over the life of the option, expressed as
a decimal number. (Default = 0.) For example, for options written
on stock indices, |

```
[CallTheta, PutTheta] = blstheta(Price, Strike, Rate,
Time, Volatility, Yield)
```

returns the call option theta `CallTheta`

,
and the put option theta `PutTheta`

.

Theta is the sensitivity in option value with respect to time
and is measured in years. `CallTheta`

or `PutTheta`

can
be divided by 365 to get Theta per calendar day or by 252 to get Theta
by trading day.

`blstheta`

uses `normcdf`

,
the normal cumulative distribution function in the Statistics and Machine Learning Toolbox™.

Yield = Rate `Yield` as:Yield = ForeignRate `ForeignRate` is
the continuously compounded, annualized risk free interest rate in
the foreign country. |

Hull, John C., *Options, Futures, and Other Derivatives*,
Prentice Hall, 5th edition, 2003.

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