risk-free rate

[Martinghoul]

Quote from trefoil:
I just use the two year USG bond yield. While it's an input to my probability model, it's not terribly important. Rho is the greek for this, and I don't think anyone really sweats much over it.
Which will, one day, turn out to be a mistake, I'm sure...

Well, IIRC, it did cause no end of consternation among the equity options types during '08, when LIBOR went crazy. So that "one day" seems to have come and gone with nobody the wiser.

 

[Martinghoul]

Quote from donnap:
I've seen this answer many times.

Option pricing is based on certain assumptions that don't apply to retail traders. We all have our own cost of carry. It's not practical to apply it in most situations for the average retail.

And there you go... The issues come out. The flip side of doing the practical thing is that there's arbitrage, in theory. Obviously, whether it's exploitable is another matter altogether.

I might add that the institutional mkt is, at the moment, struggling with these very same issues (on a somewhat grander scale, of course), so this isn't just a retail problem.

 

[slickpick]

Quote from Martinghoul:

Huh? What have I done this time?

I had use a psuedonym (i.e. not my usual online handle) for this site out of shame

What's funny is that, just this morning I was reading something from over there where you answered pretty much the same question.

 

[indahook]

Quote from slickpick:

I had use a psuedonym (i.e. not my usual online handle) for this site out of shame

Yet here you are.


I`ve been over there(diff nick) and it seems to be as full of high falutin jackasses as this place is trolls and wannabe`s.

Choose your poison I guess....

 

[Martinghoul]

Quote from slickpick:
I had use a psuedonym (i.e. not my usual online handle) for this site out of shame

What's funny is that, just this morning I was reading something from over there where you answered pretty much the same question.

Ah, yes, I thought it might have been that...

Quote from indahook:
Yet here you are.


I`ve been over there(diff nick) and it seems to be as full of high falutin jackasses as this place is trolls and wannabe`s.

Choose your poison I guess....

Guess that makes me a high falutin jackass troll wannabe, then?

 

[slickpick]

Quote from indahook:

Yet here you are.


I`ve been over there(diff nick) and it seems to be as full of high falutin jackasses as this place is trolls and wannabe`s.

Choose your poison I guess....

If I come here for entertainment/boredom does that make me a high faultin' jackass?

 

[indahook]

Quote from Martinghoul:



Guess that makes me a high falutin jackass troll wannabe, then?

Maybe. But dont say I said it, cause I didnt.

 

[indahook]

Quote from slickpick:

If I come here for entertainment/boredom does that make me a high faultin' jackass?

No way. It just means your in good company.