-2
$\begingroup$

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

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

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:

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

$\endgroup$

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

Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.

2
$\begingroup$

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

$\endgroup$
  • $\begingroup$ 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

Not the answer you're looking for? Browse other questions tagged or ask your own question.