OPT_COMPLEX_CHOOSER

OPT_COMPLEX_CHOOSER theoretical price of a complex chooser option

Synopsis

OPT_COMPLEX_CHOOSER(spot,strike_call,strike_put,time,time_call,time_put,rate,cost_of_carry,volatility)

Arguments

spot: spot price

strike_call: strike price, if exercised as a call option

strike_put: strike price, if exercised as a put option

time: time in years until the holder chooses a put or a call option

time_call: time in years to maturity of the call option if chosen

time_put: time in years to maturity of the put option if chosen

rate: annualized risk-free interest rate

cost_of_carry: net cost of holding the underlying asset

volatility: annualized volatility of the asset in percent for the period through to the exercise date