Discount curves for options - wilmott.com

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akki: Posts: 0; Joined: September 10th, 2008, 3:05 am

Discount curves for options

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#1

August 20th, 2010, 3:37 am

Hi,How do I construct discount curves for pricing options, say 6m, 1yr and 3 yr ? What if the options are 5 yrs or more ?Thanks!


Martinghoul: Posts: 188; Joined: July 18th, 2006, 5:49 am

Discount curves for options

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#2

August 20th, 2010, 5:55 am

There are lots of threads on this subject here... Seek and ye shall find.