Multiple Choice
A stock is trading at $20. A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09. An increase in interest rates of 10 basis points changes the call value to, approximately,
A) 1.440
B) 1.450
C) 1.548
D) 2.529
Correct Answer:
Verified
Correct Answer:
Verified
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