All Questions
Tagged with risk-free-rate options
2 questions
1
vote
1
answer
1k
views
Relationship between risk free rate and credit spread in the Merton model
Based on Merton model of credit risk, I understand that investing in a risky debt is the same as buying a treasury bond and writing a put option on the firm's assets with a strike price equal to the ...
- 11
2
votes
2
answers
939
views
Risk-free interest rate for option pricing from treasury yield curve rates
I am experimenting with an implementation of the Black-Scholes valuation for call options, and ran into the following questions:
Black-Scholes pricing requires a risk-free interest rate. What is '...
- 23