Let S = $54, s = 22%, r = 6%, and d = 3% (continuously...
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Let S = $54, s = 22%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes rho ( r) of a $60-strike European call option with 3 months until expiration. (That is, compute the approximate change in the call price given a 1 percentage point increase in the risk-free interest rate.)
Option D is correct, but how? Can you provide solution for Excel? formulas and steps or actual excel work sheet please?
| Answers: | a. 0.1532 |
| b. 0.0271 | |
| c. 0.1223 | |
 d. 0.0255 | |
| e. 0.1069 |
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