Risk Free Rate in option models

Discussion in 'Options' started by 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
     
  2. hopback

    hopback

    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.