[R-SIG-Finance] risk-free rate in option pricing

Xian Li xianli.analytics at gmail.com
Wed Nov 16 17:16:23 CET 2011


Hi,

As an input for option pricing models (e.g. GBSOption from fOption), how's the risk-free rate of return usually calculated? Shall we just find any T-bill whose maturity date matches the option expiration date and use its value to calculate the compound yield? Are there any existing functions for doing this?

Thanks!

Xian Li


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