Hello Community,

I frequently derive my own analytic formulas for the pricing of various ordinary and exotic options. To check my work I often use FinancialDerivative[] to confirm that my formulas give the same results. Recently I was working on the exotic option known as a Chooser option. I have a formula for pricing the option and formulas for the "Greeks". Mathematica's FinancialDerivative[] gives the same results for the value of the option and its Greeks except for Theta. I interpret Theta to be the partial derivative of the value with respect to time (what FinancialDerivative refers to as "ReferenceTime"). I have included a Mathematica notebook illustrating the similarities and differences in the results.

Am I misinterpreting what Theta means for a Chooser option, or is there a bug in FinancialDerivative[]'s calculation of Theta for Chooser options?

Thanks, Robert Buchanan