Define the time-0 log-moneyness of a call on stock $S$ with strike $K$ and expiry $T$ to be:


What does it mean for the strikes K to be at-the-log-moneyness?? I guessed this but i don't think it is right:

$$\log(K) = \log(S(0)\exp(rT)/K)$$


closed as unclear what you're asking by Quantuple, LocalVolatility, Helin, chollida, amdopt Nov 3 '17 at 20:05

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I would guess it means K=S(0)*exp(rt), so that log moneyness is zero.

  • $\begingroup$ This would be my guess as well. $\endgroup$ – Quantuple Oct 24 '17 at 7:24
  • 1
    $\begingroup$ Note this is the same as at-the-money-forward $\endgroup$ – Chris Taylor Oct 24 '17 at 11:29

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