I was drawing some graphs for the plain vanilla european options. Here is one of the graphs I got: EUROPEAN CALL K=50,T=1year,r=5OTM:S(0)=50, T = 1 year, r=5% OTM: S(0)=40 ATM: S(0)=50ITM:S(0)=50 ITM: S(0)=60 The question is why ATM option has value when volatility sigma=0 ? I mean what is the financial interpretation of this fact? However, similar graph for the ATM European Put starts from 0. EUROPEAN PUT S(0)=50,K=50, K=50, T=1, r=5% EUROPEAN CALL K=50,T=1year,r=5OTM:S(0)=50, T = 1 year, r=5% OTM: S(0)=40 ATM: S(0)=50ITM:S(0)=50 ITM: S(0)=60 The question.