An option is at-the-money when its strike equals the forward (or, loosely, the spot). Its price is, to a good approximation, proportional to volatility: .
Quantitative Finance · शब्दावली
Quantitative Finance · शब्दावली
An option is at-the-money when its strike equals the forward (or, loosely, the spot). Its price is, to a good approximation, proportional to volatility: .