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Convention for calculation theta for F/X options
For F/X options, when using Garman-Kohlhagen, is the convention to calculate theta using drift or no drift? Thanks.
Last edited by equanimity on November 4th, 2013, 11:00 pm, edited 1 time in total.
Convention for calculation theta for F/X options
I'd be pleased to hear that the FX markets are a bit more organized but, in general, there is no consensus on this issue. Why not accomodate both ways of computation controlled with a switch argument? That way you can accomodate both viewpoints.
Convention for calculation theta for F/X options
think most people would look at theta and carry seperately (also maybe Smile vs BS theta) ... hardly a consensus agreed