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 put 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
1 2 3 4 5 6 7 8 9 10 11 12 13 | # Hull, 7th edition Ch 17 p 376
Stock <- 49 # S_0
Exercise <- 50 # K
Time <- 20/52 # T
Interest <- 0.05 # r
Yield <- 0 # q
sigma <- 0.20
rhocall <- RhoCall(Stock, Exercise, Time, Interest, Yield, sigma)
rhoput <- RhoPut(Stock, Exercise, Time, Interest, Yield, sigma)
writeLines(paste0("RhoCall: ", round(rhocall, 2), "\n",
"RhoPut: ", round(rhoput, 2)))
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