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Golden rule :- Whoever holds the purse strings on the project has the biggest voice. If it's your sponsor, they are the most powerful .
Where's the project governance? the steering committee and Project Board?
Ask this stakeholder to put their change request in writing . Set the expectation that any Change Request would require evaluation and will affect scope, cost, schedule .
Inform your sponsor that you will need to invest time and effort to evaluate the change request and get their agreement and endorsement to go ahead to spend time on investigating the change.
IF the sponsor feels that such investment of effort is unnecessary , relay that back to the stakeholder.
IF the sponsor feels that you should go ahead with evaluating the change , then present the change and ask for formal sign off at the Project Board and Steering committee . And let it be minuted that you have been approved or rejected for the increased scope, time and/or cost.
IN the absence of a project board ...
if in the middle of a sprint , set the expectation with the stakeholder {even if they are the product owner} that the change will be evaluated by the team at the end of the sprint . Make sure your Product Owner is fully on-board with this .
Get the team to evaluate the change once the sprint is finished.
If the change presents a good value proposition after evaluation, present it to your sponsor and seek their endorsement . If sponsor agrees to implement the change , schedule it in with your team in one of the future sprints . If the sponsor rejects , then let your stakeholder know.
IF your sponsor does not back you up , then , Rahul, my friend, dust off the cobwebs from your resume. The market is waiting for you ! :)