Tannous, George F.; Lee-Sing, Clifton - In: The Financial Review 43 (2008) 2, pp. 191-218
Assuming the underlying asset price remains constant, previous studies show that the time value of an option decays gradually at a rate that accelerates over time and peaks at the expiration date. Thus, a significant portion of time value is lost in the four weeks leading up to expiration. This...