If the rho of the specific option is known, it is easy to determine how the option's value will change as the spot rate changes.

Name: If the rho of the specific option is known, it is easy to determine how the option's value will change as the spot rate changes.
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Question

Quizplus · Accepted Answer

Rho measures the sensitivity of an option's price to changes in interest rates, not the spot rate. The spot rate's impact on an option's value is more directly related to the Delta and Gamma of the option.

If the Rho of the Specific Option Is Known, It