The document discusses the impact of interest rate levels on the pricing of call options, focusing on the concept of 'rho', which measures the sensitivity of an option to interest rates. It explains how interest rates affect call options through discounting and forward effects, and provides tables showing the relationship between interest rates, call prices, and rho as a percentage of option price. The document also includes simulated P/L scenarios under different rate and spot conditions.
documents/vol00010-efta01365012-pdf.pdf
{"title":"US Derivatives Spotlight - Rho: Interest Rate Sensitivity","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"]}