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Medium · options_pricing · Quant Researcher interview question · options-pricing, black-scholes, greeks, theta, scipy
Option theta measures the rate of an option's value decay with the passage of time, a critical factor in derivatives pricing. Quants use daily theta for P&L attribution, managing carry costs on volatility books, and constructing time-neutral trading strategies. This problem involves implementing the standard Black-Scholes formula to calculate this key risk metric for European options. Task Implement the function solution(S, K, T, r, sigma, option_type) to calculate the daily Black-Scholes theta