¿ªÔÆÌåÓý

ctrl + shift + ? for shortcuts
© 2025 Groups.io

Re: Black-Scholes-Merton - Risk Free Interest Rate and which Volatility value do I use?


 

Treasuries are too low. The best easy, cheap thing is Libor, but that also tends to be too low when the Fed is near zero. Probably most people just use Libor ... download for free, translate the Act/360 to continuously compounded rates, and interpolate linearly. Libor only goes to 12 months though, after that you need to bootstrap or just get the rates directly from the options chains.
?
You can also get the IB/TWS rates directly ... those used to be pretty good, but got kind of lousy after they sold Timber Hill.

Join [email protected] to automatically receive all group messages.