In the "Volatility and Correlation" book, the formula for a straddle, ST(t,T), on page 204 involves the at-the-money (ATM) strike, 
. I have been unable to find a clear definition of the ATM strike price in this book. Does Rebonato intend for it to be the strike price such that
(a) Strike price = Forward price,
(b) Strike price = Spot price, or
(c) The option is a 50-delta option?
Most authors choose (b), and since Rebonato seems to take
in the B-S framework, this is equivalent to (a). However, on page 169, he seems to imply (c).
What say you?
. I have been unable to find a clear definition of the ATM strike price in this book. Does Rebonato intend for it to be the strike price such that(a) Strike price = Forward price,
(b) Strike price = Spot price, or
(c) The option is a 50-delta option?
Most authors choose (b), and since Rebonato seems to take
in the B-S framework, this is equivalent to (a). However, on page 169, he seems to imply (c).What say you?
Definition of ATM strike
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