Recent content by noitop

Hi Martinghoul, thanks alot for the prompt response. The lognorm dist has a longer right tail but if I just look at the distribution, how do I tell where the atmf falls? If it fell more to the right side, the effect of the longer right tail would be negated? Besides looking at the equation of d1...

Does anyone know why an atmf call option is not 50 delta but slightly more? Seems that it has something to do with the lognormality of price distributions but how does the dynamic work?