How would you include -in a simple way- high borrow rates, say 10%.
Intuitively, for PUTs I'd set r as r - borrow_rate, to include the negative carry of the borrow. So If I'm selling puts, value would increase to compensate the fact that keeping the short stock (the delta hedge) is costly.
Calls should be worth less as I'm receiving the short rate interest for holding the delta hedge.
Is it plausible this? Else, you could add the fee on the q. Which seems to me more easy as the borrow pnl is dependent on the underlying process and not the Bond Price (strike). Do you think this would apply to indices like a weighted average borrow rate added to the q dividend process?.