Hi. I think it depends on what you want to use as a decay factor.
For example, if we start with 100, and expect a value of 0.01 after 35
days, then perhaps...

k = LN(0.01/100)/35

then your equation is = 100*Exp(k*t)
as t goes from time 0 to 35.

If you assume an ending value of $1.00 after 35 days, then you get the
same solution as Jim's.
You are going to have to make some assumptions on the ending value for
this options pricing model.
= = =
HTH :)
Dana DeLouis



Box wrote:
I have an option price and I know that the option expires in 35 days. I also
know that option prices decay exponentially; decay increases as time to
expiration decreases.

How can I estimate the exponential decay in the option price from the 35 day
to the 34 day?

Rather than use an option pricing model I'm simply looking for an Excel
function that gives some sort of basic exponential decay value.

Thanks for your help.