Asked by Kenny Wayne on May 09, 2024
Verified
The sensitivity of an option's value to a change in the risk-free rate is measured by the option rho.
Option Rho
A measure of how much the price of an option should change when the risk-free interest rate changes by one percentage point.
- Determine the significance and identify the Greeks, which are sensitivity measures in option pricing.
Verified Answer
CG
Charles GipsonMay 14, 2024
Final Answer :
True
Explanation :
Option rho measures the sensitivity of an option's price to changes in the risk-free interest rate, indicating how much the price of an option is expected to change per one percentage point change in the interest rate.
Learning Objectives
- Determine the significance and identify the Greeks, which are sensitivity measures in option pricing.