as2201


Total Posts: 1 
Joined: Sep 2017 


I was wondering whether there is an expression linking the rho to the delta of an option with equity underlyings. I would expect there is since the cost of hedging should mirror the delta of each option underlying but I haven't been able to derive the exact relationship. In some literature, I've seen the following quoted:
Rho of option forward = delta * expected time to maturity
Not too sure how this can be derived though!
Appreciate any help/comments! 


