Hi Bogaso- I get the exact same result in both R and a spreadsheet when
I code it up: -8.396841. I think the reason you are getting a different
result in some of the web-based calculators is because of the carry
cost. This is a very irritating input for me, because I have always
found it difficult to figure out whether to use carry cost or dividend
yield. If you put in "dividend yield = 0", you will get a very strange
result because this is not the same as a zero cost of carry.

Basically, if your carry cost is zero then the dividend yield on the
stock must be exactly equal to the risk-free rate. The problem with this
is that in calculating theta for reasonably long-dated European option
positions, such options are highly time-sensitive and, by extension,
rate/yield sensitive. Thus even a small change in either the risk-free
rate or the dividend yield will have a big impact on the theta of the
stock.

I had a quick look at the code in R too, and it should be correct. Those
functions are well-tested and heavily used, so I think you should be OK
using them to calculate option Greeks.

Best regards,

Sarbo

On Sun, 2010-01-31 at 04:42 -0800, Bogaso wrote:

> 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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