P polee2000 Aug 28, 2007 #1 what do i use ? for options expring in 1 month do I use something like 1-month libor ? 3 months using 3 months libor and so on ? what is the industry standard ? thanks
what do i use ? for options expring in 1 month do I use something like 1-month libor ? 3 months using 3 months libor and so on ? what is the industry standard ? thanks
H hopback Sep 1, 2007 #2 Treasuries. Options up to 3 months out generally use a 90 T-bill rate, longer that 3 months use a bill or note with corresponding maturity.
Treasuries. Options up to 3 months out generally use a 90 T-bill rate, longer that 3 months use a bill or note with corresponding maturity.
