derive roh formula
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Rho Calculation and Rho In Practice
But it is calculated as the first derivative of the option's value with respect to the risk-free rate. Rho measures the expected change in an option's price for a 1 percent change in a U.S. Treasury bill's risk-free rate. Also, rho increases as the time to expiration increases.
Rho (uppercase/lowercase Ρ ρ), is the letter of the Greek alphabet, used to represent the "r" sound in Ancient and Modern Greek. In the system of Greek numerals, it has a value of 100. Letters that came from it include the Roman R and Cyrillic Р. The lowercase Rho ("ρ") is used in physics to represent density.
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