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A closer look at Black–Scholes option thetas

Author

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  • Douglas Emery
  • Weiyu Guo
  • Tie Su

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Suggested Citation

  • Douglas Emery & Weiyu Guo & Tie Su, 2008. "A closer look at Black–Scholes option thetas," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 59-74, January.
    • Handle: RePEc:spr:jecfin:v:32:y:2008:i:1:p:59-74
    DOI: 10.1007/s12197-007-9000-8
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    References listed on IDEAS

    as
    1. 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.
    2. N/A, 1996. "Note:," Foreign Trade Review, , vol. 31(1-2), pages 1-1, January.
    3. 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.
    4. 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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Rojas-Bernal, Alejandro & Villamizar-Villegas, Mauricio, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).

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    More about this item

    Keywords

    Black–Scholes option pricing model; Option theta; Time decay; G10; G12;
    All these keywords.

    JEL classification:

    • 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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