Theta seems to be one of the most widely varied in how people calculate and scale it, but all the Greeks and even the theoretical values vary from package to package. This variation is usually explained by the various ways of scaling the answers and the inputs. For example, are the input rats supposed to be continuous rates or Act/360 or Act/365, etc. Should the time between dates be scaled to years by dividing 365 or 365.25 days? Should the volatility time be scaled the same way or by some other number of days, say 252? Is the theta for one year, one day, one business day; does it include carry or not? And so on and so on. If you have access to the source (in R, you do), you can see exactly what the programmers did, whereas for commercial or on-line models, you have to rely on good documentation. A few years ago, Dr Risk (William Margrabe http://www.margrabe.com/) wrote about testing his calculator against eight commercial packages, and documented how difficult it can be. Good luck! David L. Reiner, PhD Head Quant XR Trading, LLC -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Bogaso Sent: Sunday, January 31, 2010 6:43 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Option greeks Thanks for this mail. I was not aware of that package, obviously it is terribly good. However I found significant differences while comparing the numbers with online option calculators available over net. For example
GBSGreeks(Selection = "theta", TypeFlag = "c", S = 105, X = 100, Time
=
1/2, r = 0.10, b = 0, sigma = 0.36)
[1] -8.396841 However this site http://www.intrepid.com/robertl/option-pricer1/option-pricer.cgi gives completely different figure as "-0.0965 " am I missing something?
View this message in context: http://n4.nabble.com/Option-greeks-tp1457972p1457996.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, "XR Content") are confidential and proprietary to XR Trading, LLC ("XR") and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE.