k**8
发帖数: 14 | 1 Which risk free interest rate is used for calculating implied volatility?
Appreciate your help! |
N***T
发帖数: 31 | 2 LIBOR or treasury yield, both are okay. |
k**8
发帖数: 14 | 3
Thank you, NYUTT. Can you explain more about how to use libor for implied
volatility calculation? My confusion is that libor rates are not continuous-
compound rates. How can I plug libor into black scholes? Do I need to
convert them first?
Thanks, again.
【在 N***T 的大作中提到】
: LIBOR or treasury yield, both are okay.
|
T*******t
发帖数: 9274 | 4 always the funding cost
【在 k**8 的大作中提到】
: Which risk free interest rate is used for calculating implied volatility?
: Appreciate your help!
|
k**8
发帖数: 14 | 5 If I have the implied volatility and I want to calculate the price, which
rate should I use for the funding cost?
Thanks!
【在 T*******t 的大作中提到】
: always the funding cost
|
