Where can I find risk-free rate for options pricing?

CFA General
#1

I am reading the Hull book. It says people uses LIBOR rate for risk free interest rate. Where can I find a quote of the current LIBOR rate for different maturities? The closest thing I found are the treasury bills rates (e.g. ^IRX in Yahoo finance). Thanks in advance.

#2

http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=141&a=627 http://www.fanniemae.com/tools/libor/index.jhtml?p=Tools+%26+Resources

#3

Thanks a lot for your reply. I like the data in the first one but does the site have today’s quotes. I can’t find the current data there…

#4

If you need daily (or today’s) i suggest you pull up some big banks and see where their rates are. I would also check the BoC of Fed website as well… according to the site i listed first: Historic BBA LIBOR rates BBA LIBOR rates are published on this web site with a 1-week rolling delay. This page contains the full back-history of BBA LIBOR. There is a fee-based service for dowloading daily BBA LIBOR rates. For more information please contact libor@bba.org.uk.

#5

haha, I’d go with your broker’s margin rate or what hill pay you on the cash in your account…

#6

oic. No wonder the data is not on Yahoo. Thanks a lot! So how do I pick which rate to use for which option? What is the convention? Suppose I have an option with 2.5 months left. Do I use 2-month rate or 3-month rate? What about options longer than one year (aka leaps)?

#7

4%. Move along.

#8

LIBOR is currently at about 5%, with the term structure fairly flat across all maturities. Any nuances here will be dwarfed by issues around volatility estimates, anyways.