Asked by Kenny Wayne on May 09, 2024

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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.
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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.