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as2201


Total Posts: 1
Joined: Sep 2017
 
Posted: 2018-01-27 14:09
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!
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