The change in a put option's price in response to a 1% increase in interest rates is approximately equal to
A) Rho
B) B.-1 * rho
C) 0.01 * rho
D) 0.01 * -1 * rho
E) 0.01-rho

Question

Quizplus · Accepted Answer

Rho measures the sensitivity of an option's price to a change in interest rates. For a put option, an increase in interest rates typically decreases the option's price, and this change is directly measured by rho.

The Change in a Put Option's Price in Response to a 1