- Call option A: Exercise price X = $70, Days to option expiration = 15.
- Call option B: Exercise price X = $70, Days to option expiration = 120.

**CppQuant Answer**

Option B. Rhoc (for call options) and Rhop (for put options) change as time passes, with both tending toward zero as expiration approaches.

*Bonus Points*

- The sensitivity of the option price to the risk-free rate is called the Rho.
- For a call option, Rho is always positive.
- For a put option, Rho is always negative.

- Large changes in the interest rate have relatively little impact on the option prices. (ie, the price of a European option on an asset is not very sensitive to the risk-free rate.)

*Category: C++ Quant > Derivatives > Options*

*_*

- Put option A: Exercise price X = $70, Days to option expiration = 15.
- Put option B: Exercise price X = $70, Days to option expiration = 120.

Option B > A ??

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