What is the rho of a $103 strike put option expiring
Problem
Assume a stock trades at $98, the volatility of the stock is 29%, and the risk-free interest rate is 3.5%. What is the Rho of a $103 strike put option expiring in 186 days if the risk-free interest rate increases by 0.1%?
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What is the Rho of a $103 strike put option expiring in 186 days if the risk-free interest rate increases by 0.1%?
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