[R-SIG-Finance] Option greeks

[davidr at rhotrading.com]

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?

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