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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. |
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