Input interpretation
protective option
Input values
option name | European option type | call strike price | $50 (US dollars) time to expiration | 3 months underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.1%
Payout profile at expiration
Payout profile at expiration
Option attributes
value | delta | gamma | vega | theta | rho $-48.07 | -0.490 | 0.080 | 9.931 | -3.752 | 5.872
Plots as a function of risk-free interest rate
Plots as a function of risk-free interest rate
Time evolution of rho
Time evolution of rho