Average Rate Options: Price Sensitivities
Interactive

Average Rate Options: Price Sensitivities

Intuition Publishing
Updated Sep 24, 2020

Average rate options respond differently to changes in the underlying market as compared with standard options, and so their sensitivities must be looked at separately. We demonstrate how the sensitivities of average rate options change over time in a short animation, and then graphically represent the changes over time for a few different time periods.