thommo77

JoeyDVivre Wrote:
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> bpdulog Wrote:
> --------------------------------------------------
> -----
> > Duration of option = Option delta*duration of
> > underlying*(price of underlying/price of
> option)
>
>
> Personally, I would say that duration of an option
> is just rho which would not be exactly the same as
> this because the option is sensitive to interest
> rates even if the underlier isn't. Is this
> (cheesy) definition in one of your books?

Yup!

NO EXCUSES