// Calculate the Black Scholes European call option Theta double BS_Call_Option_Theta(double S, double K, double r, double v, double T) // Parameters: (S = Current Stock Price, K = Strike Price, r = Risk-Free Rate, v = Volatility of Stock Price, T = Time to Maturity) { return -(S * Normal_PDF(d_j(1, S, K, r, v, T)) * v)/(2 * sqrt(T)) - r * K * exp(-r * T) * Normal_CDF(d_j(2, S, K, r, v, T)); }

const double Pi = 3.14159265359; // Standard Normal probability density function double Normal_PDF(const double & x) // Normal PDF(x) = exp(-x*x/2)/{sigma * sqrt(2 * Pi) } { return (1.0/(double)pow(2 * Pi, 0.5)) * exp(-0.5 * x * x); }

const double Pi = 3.14159265359; // Standard Normal cumulative distribution function double Normal_CDF(const double & x) { double k = 1.0/(1.0 + 0.2316419 * x); double k_sum = k * (0.319381530 + k * (-0.356563782 + k * (1.781477937 + k * (-1.821255978 + 1.330274429 * k)))); if (x >= 0.0) { return (1.0 - (1.0/(pow(2*Pi,0.5)))*exp(-0.5*x*x) * k_sum); } else { return 1.0 - Normal_CDF(-x); } }