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For K i 2 , where i = 1 , 2 , 3 , pick from all the strike prices available in the option chain,
For where pick from all the strike prices available in the option chain, pick the one
that is closest to the current share price ie the option is roughly at the money:
For where from all the strike prices available in the option chain, pick the one that is
closest to of the current share price : As for make it equal to as sho
below:
For K from all the strike prices available in the option chain, pick the one that is closest to
of the current share price P
For K from all the strike prices available in the option chain, pick the one that is closest to
of the current share price
For K from all the strike prices available in the option chain, pick the one that is closest to
P of the current share price P
Make K equal to K
If there are more than one option expiration dates for a given month pick the last one available.
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