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Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the Rho of

Assume a stock trades at $95, the volatility of the stock is 36%, and the risk-free interest rate is 3.9%. What is the Rho of a $101 strike call option expiring in 249 days if the risk-free interest rate increases by 0.1%? Please answer to 2 decimal places. Correct Answers 0.03 (with margin: 0.01)

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