The sensitivity of an option's value to a change in the risk-free rate is measured by the option rho.

Name: The sensitivity of an option's value to a change in the risk-free rate is measured by the option rho.
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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.

The Sensitivity of an Option's Value to a Change in the Risk-Free