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Which one of the following choices measures the change in an option value given a one...

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

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Answer #1

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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