May we use Black-Scholes stupidly for interpolation of the smile of stock volatilities?

[functor]

@functor

> Isn't setting F = S and r = 0 in the black's formula, just giving you back the Black-Scholes formula with r = 0 and no dividends?



Yes, and?




I am just trying to understand what you are doing here. The black-scholes formula is basically the same thing as Black's formula. You said initially that instead of using the BS formula, use black's formula with F = S and r = 0, well this is just a special case of the BS formula!



Even if you don't know dividends, wouldn't it be worse to make 2 assumptions (F = S and r = 0 - note this is only possible if you assume no dividends anyway) rather than just the one assumption of no dividends (put not nec. r = 0) in the BS formula ?

[pj]

Maybe the two assumptions cancel each other?

That's why I was asking around...

Anyways, the problem will be with the Greeks. Cool