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Medium · options_pricing · Quant Researcher interview question · options-pricing, black-scholes, greeks, rho, interest-rate-sensitivity
Rho measures an option's price sensitivity to changes in the risk-free interest rate, a critical risk metric for options trading desks. It is calculated as the first derivative of the option price with respect to the risk-free rate, r. In interest-rate-sensitive regimes, managing rho exposure is crucial for systematic funds and market makers. Task Implement the function solution(S, K, T, r, sigma, option_type) to calculate the Black-Scholes rho for a European option. The function should accept