How Does a Change in Interest Rates Affect the Price of a Long-Dated Crypto Option? ▴ Learn

How Does a Change in Interest Rates Affect the Price of a Long-Dated Crypto Option?

Interest rates are a component of the Black-Scholes-Merton option pricing model. A rise in interest rates increases the present value of the strike price for a long-dated call option, making it more expensive, and decreases the present value for a put option, making it cheaper.

This effect, known as Rho, is more pronounced for long-dated options because the discounting period is longer.

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