Option rho
= Option rho
{title2=$\partial_\rho p$}
The derivative of a claim price with respect to the <interest rate>, holding the payoff and other model parameters fixed. For a dividend-free <Black-Scholes model> with remaining time $\tau$, it is $\tau(xp_x-p)$, so its sign is opposite the bank-account value in the <replicating strategy>.