This paper investigates the effect of stochastic interest rate on option price and the information content of percentage difference of the option price about future index movement. The percentage difference is the rate of discrepancy between theoretical option price derived by the Kim’s simple approach method and the market price of the same option. The effect of stochastic movement of interest rate and the partial effect of stochastic volatility are reflected in the theoretical option price and the percentage difference may contain the information and the expectation of option market participants.
