I've read an answer here that say if your security has vega, then it has gamma and theta. is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?
I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
I have a question about a option theta. When I evaluate the option theta of near expiry put option using Black-Scholes formula given the data as follow: Index Level = 20,500 Strike Price = 20,000 ...
How does $\Theta$ change for deep out-of-the money options? Looking at the below graph, it seems the time decay is highest for ATM options and increases rapidly as we approach maturity of the option. ...