When the option is at the money, we get F = K so

𝐹
ln(𝐾)+ (𝜎𝛼,𝛽 2 /2)𝑇 1
𝑑1 = ; 𝑑1 = 𝜎𝛼,𝛽 √𝑇
𝜎𝛼,𝛽 √𝑇 2

1 1
𝑑2 = 𝑑1 − 𝜎𝛼,𝛽 √𝑇 ; 𝑑2 = 𝜎𝛼,𝛽 √𝑇 − 𝜎𝛼,𝛽 √𝑇 = − 𝜎𝛼,𝛽 √𝑇 = −𝑑1
2 2

𝐶𝑎𝑝𝑙𝑒𝑡 𝑃𝑟𝑖𝑐𝑒 = 𝐹𝑒 −𝑟𝑇 (𝑁( 𝑑1 ) − 𝑁( 𝑑2 ))

𝐶𝑎𝑝𝑙𝑒𝑡 𝑃𝑟𝑖𝑐𝑒
= 𝑁(𝑑1 ) − 1 + 𝑁(𝑑1 ) = 2𝑁(𝑑1 ) − 1
𝐹𝑒 −𝑟𝑇

1 𝐶𝑎𝑝𝑙𝑒𝑡 𝑃𝑟𝑖𝑐𝑒
( + 1 ) = 𝑁(𝑑1 ) ;
2 𝐹𝑒 −𝑟𝑇
2 1 𝐶𝑎𝑝𝑙𝑒𝑡 𝑃𝑟𝑖𝑐𝑒
𝜎𝛼,𝛽 = 𝑁 −1 ( +1)
√𝑇 2 𝐹𝑒 −𝑟𝑇