Chapter 03 · Section 3.1

At-the-money option

at-the-money option is an option:

a) with an exercise price greater than the price of the underlying asset.
• b) which has a premium equal to the price of the underlying asset.
  No. If the price of the option -- the premium -- were as high as the price of the underlying, it would not be worthwile buying the option.
  c) with an exercise price which is equal to the premium.
  d) with an exercise price equal to the price of the underlying asset.

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