Illustrates formula of Rho for foreign exchange option value
Illustrates the formula of Rho for the foreign exchange option value?
Expert
Formula:
ρ = ∂V/∂r.
In practice one frequently uses a complete term structure of interest rates, implies a time-dependent rate r(t). Rho would subsequently be the sensitivity to the level of the rates assuming a parallel move in rates at all times.
Rho can also be sensitivity to dividend yield, or foreign interest rate in a foreign exchange option.
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