D
Delvesy888
Member
I have, I think, a fundamentally simple question...
I have been looking at the solution for the Theta for a call/put option based on the Garman-Kohlhagen model.
I can arrive at the solution if I differentiate f with respect to t, assuming that S_t does not depend on t.
However, of course, S_t does depend on t, and we have
partial dSt/dt = (r+q-0.5(sigma)^2)*S_t
Am I missing something fundamental about partial derivatives? Perhaps if I was to do the 'full' differentiation by treating S_t as a function of t, everything will magically cancel and I will be left with the same expression?
Any help would be greatly appreciated.
Thanks
I have been looking at the solution for the Theta for a call/put option based on the Garman-Kohlhagen model.
I can arrive at the solution if I differentiate f with respect to t, assuming that S_t does not depend on t.
However, of course, S_t does depend on t, and we have
partial dSt/dt = (r+q-0.5(sigma)^2)*S_t
Am I missing something fundamental about partial derivatives? Perhaps if I was to do the 'full' differentiation by treating S_t as a function of t, everything will magically cancel and I will be left with the same expression?
Any help would be greatly appreciated.
Thanks