Description Usage Arguments Value Note Author(s) References Examples
Rho is the sensitivity of an option price to changes in the risk-free rate of interest
1 |
Stock |
S0, the initial stock price |
Exercise |
K, the strike price |
Time |
T, the time to maturity in fractional years |
Interest |
r, the risk-free rate of return |
Yield |
q, the dividend yield |
sigma |
the asset volatility |
The Rho of the call option
for futures and foreign exchange, use the specialized functions RhoFuturesCall, RhoFuturesPut, RhoFXCall, RhoFXPut
George Fisher GeorgeRFisher@gmail.com
Hull, 7th edition ch 17 p375-376
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