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Calculating time to maturity

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ludinski
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Calculating time to maturity

November 7th, 2012, 9:05 am

In option pricing, time to maturity T is expressed as a fraction of a year. In practice how many days should one consider in a year? I've seen in at least one pricing package that a year is considered as 365.25 days.
Last edited by ludinski on November 6th, 2012, 11:00 pm, edited 1 time in total.
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ZhuLiAn
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Calculating time to maturity

November 7th, 2012, 10:28 am

Yes also depends on your business days. Should not have a major impact on your product no?
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Alan
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Calculating time to maturity

November 7th, 2012, 12:57 pm

vix white paper
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ludinski
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Calculating time to maturity

November 7th, 2012, 3:10 pm

QuoteOriginally posted by: Alanvix white paperwhich one?
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ludinski
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Calculating time to maturity

November 7th, 2012, 3:14 pm

QuoteOriginally posted by: ludinskiQuoteOriginally posted by: Alanvix white paperwhich one?OK found it.
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