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ATM call price
What value should I pass into the ATM call price, if it is to be input for a model ?eg., A model requires ATM call price as an input.Spot price is 30 .Call price for 29 strike is 1.5 Call price for 31 strike is 0.75Should one do a linear interpolation??Thanks,Asd
ATM call price
QuoteOriginally posted by: asdWhat value should I pass into the ATM call price, if it is to be input for a model ?eg., A model requires ATM call price as an input.Spot price is 30 .Call price for 29 strike is 1.5 Call price for 31 strike is 0.75Should one do a linear interpolation??Thanks,Asdnope. choose the call that is closer to the ATM forward. spot is 30, you know the rate, calculate the forward and choose the call with strike closer to the ATM forward
ATM call price
"choose the call that is closer to the ATM forward. spot is 30, you know the rate, calculate the forward and choose the call with strike closer to the ATM forward "Slevin, Many thanks for your reply. I am actually trying to implement a model to calculate SAS, which requires forward price and ATM call price as inputs to calibrate RNHD ATM . I have a doubt , whether feeding a different call price than corresponding to forward price will cause weird result (if forward is not near available strike ), or if some other adjustments are needed?Thanks,Asd
Last edited by asd on April 26th, 2004, 10:00 pm, edited 1 time in total.
ATM call price
I'd rather work on the implied volatility of the two options around the ATM (forward) strike, ie: interpolate the two vols to get the ATM vol and then compute the theoritical ATM call price...