The delta, gamma, theta, and vega of a call futures option are the same as those for
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The delta, gamma, theta, and vega of a call futures option are the same as those for a call option on a stock paying dividends at rate q, with q replaced by r and So replaced by Fo.
Explain why the same is not true of the rho of a call futures option.
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Saud Ur Rehman
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