Input interpretation
covered option
Input values
option name | European strike price | $50 (US dollars) time to expiration | 3 months option type | call underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.12%
Payout profile at expiration
Payout profile at expiration
Option attributes
value | delta | gamma | vega | theta | rho $48.07 | 0.490 | -0.080 | -9.931 | 3.757 | -5.874
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