Abstract
Theta tracks the change in option value for a change in time to expiry, assuming that all other drivers of option value remain the same.
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© 2015 Jawwad Ahmed Farid
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Farid, J.A. (2015). Understanding Theta. In: An Option Greeks Primer — Building Intuition with Delta Hedging and Monte Carlo Simulation Using Excel. Global Financial Markets series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137371676_14
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DOI: https://doi.org/10.1057/9781137371676_14
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-47572-8
Online ISBN: 978-1-137-37167-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)