Question: Let S = $54, s = 22%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes rho ( r) of a $60-strike

Let S = $54, s = 22%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes rho ( r) of a $60-strike European call option with 3 months until expiration. (That is, compute the approximate change in the call price given a 1 percentage point increase in the risk-free interest rate.)

Option D is correct, but how? Can you provide solution for Excel? formulas and steps or actual excel work sheet please?

Answers:	a. 0.1532
	b. 0.0271
	c. 0.1223
	d. 0.0255
	e. 0.1069

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