Comment on Theta

rohan commented on 04 Feb 2016, 05:43 AM

Thanks Kathik….

In my previous calculations, I think there is some error in second one when spot goes down by -10
new premium=5.75 -10(.401) -10(-.207)= 1.74 +2.07 = 3.81

here premium is increasing with theta(-10*-.207=+2.07)

how come?

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