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Incorrect Theta calculation #23

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dilpreet300 opened this issue Jun 20, 2023 · 0 comments
Open

Incorrect Theta calculation #23

dilpreet300 opened this issue Jun 20, 2023 · 0 comments

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@dilpreet300
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Theta calculation in analytical greeks of Black is incorrect. second_term should be 0.Developer confused 'q' which is annual dividend yield which should be 0 in this case with 'r' risk free return rate
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@dilpreet300