Microsoft PowerPoint - PoF.ppt

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Rho: change of the option price given a change in the “riskless”interest rate.

ƒ

Black-Scholes rho of a call with

E = 100, T = 1y, r = 10% p.a. and

σ

=

20% p.a..

()

p r

Put

d

N

ETe

c r

Call

-rT

∂ ∂

=

=

∂ ∂

=

ρ

ρ

:

&

2

:

Derivative securities: Options - Black-Scholes modelGreeks