Binomial Trees

Discussion in 'Trading' started by zjulian104, Nov 26, 2011.

  1. Plenty of white-papers to choose from, but a cursory glance online for a practical example left questions as to what's considered convention as to the look-back on the risk-free rate and dividend yield. What do you all use?
  2. forward rate implied by the yield curve.

    for the dividend:

    if index then either assume some constant risk free rate or calculate the components (annoying). if single stock then you have to create a dividend forecast schedule (also annoying).

    there are services that will do the dividend for you, but they are pricey for retail guys. if you are fund or are big enough to justify the cost, check out Markit's DaDD product.