Input interpretation
straddle option
Input values
option name | European 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 $3.98 | 0.022 | 0.159 | 19.863 | -7.953 | -0.719
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