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Direction of a European put when rates rise

Question

Holding everything else fixed, suppose the risk-free interest rate goes up. What happens to the value of a European put? Reply 11 if it rises, 00 if it is unaffected, or −1-1 if it falls.

Short answer

−1-1 (the put loses value). The put's holder receives the strike KK at expiry, and a higher rate shrinks its present value Ke−rTKe^{-rT}. Equivalently, higher rates raise the forward price, which helps calls and hurts puts, so put rho is negative.

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