AdvancedNumeric answer
A one-year at-the-money call on a stock has volatility and rates of . What is its rho, in dollars per one percentage point of rate, to two decimal places?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Reported in interviews at
More the greeks and hedging questions
- What is the sign of gamma on a long put?Foundation
- Where is the time decay of a long option largest?Foundation
- You are long 10 call contracts with delta 0.55, each on 100 shares.Foundation
- Which has more vega: a one-month at-the-money option or a one-year at-the-money…Applied
- You are long a straddle and have hedged the delta.Applied
- A one-year at-the-money call on a non-dividend-paying stock, with positive rates.Applied