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Black-Scholes sensitivity to time-until-maturity change

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

`[CallTheta,PutTheta] = blstheta(___,Yield)`

`[`

returns the call option theta `CallTheta`

,`PutTheta`

] = blstheta(`Price`

,`Strike`

,`Rate`

,`Time`

,`Volatility`

)`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, and `normpdf`

, the normal probability
desnity function, in the Statistics and Machine
Learning Toolbox™.

`blstheta`

can handle other types of underlies like
Futures and Currencies. When pricing Futures (Black model), enter the
input argument `Yield`

as:

Yield = Rate

`Yield`

as:Yield = ForeignRate

`ForeignRate`

is the continuously compounded,
annualized risk-free interest rate in the foreign country.

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

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