Which one of the following choices measures the change in an option value given a one percent change in interest rate? M a. Delta M b. Gamma M c. Theta M d. Vega M e. Rho
Delta measures the change in the value of an option due to changes in the price of the underlying asset
Vega measures the change in the value of an option due to changes in the volatility
Theta measures the change in the value of an option due to changes in time
Rho measures the change in the value of an option due to changes in the interest rates
Gamma measures the change in the value of an option due to changes in Delta
So, as per above discussion, Rho is the correct option and option e is the correct option
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