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BSPutCharm

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Function Description

Returns the Charm, i.e. sensitivity of delta to time, of a European put option assuming that the (generalised) Black-Scholes (i.e. Garman-Kohlhagen) pricing formula applies, i.e.:

 

 

See Black-Scholes option pricing greeks for further details of notation and (other) option greeks.

 


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Output type / Parameter details

Output type: Double
Parameter NameVariable TypeDescription
StrikePriceDoubleStrike price of option
UnderlyingPriceDoubleCurrent price of underlying
InterestCtsDoubleInterest rate (continously compounded)
DividendCtsDoubleDividend yield (continuously compounded)
TimeNowDoubleTime now (typically 0)
TimeMaturityDoubleTime at maturity
ImpliedVolatilityDoubleImplied volatility (of price of underlying)

Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Derivative pricing functions

-          Computation units used


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