OPT_EXTENDIBLE_WRITER(call_put_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
call_put_flag: 'c' for a call and 'p' for a put
spot: spot price
strike1: strike price at which the option is struck
strike2: strike price at which the option is re-struck if out of the money at time1
time1: initial maturity of the option in years
time2: extended maturity in years if chosen
rate: annualized risk-free interest rate
cost_of_carry: net cost of holding the underlying asset
volatility: annualized volatility of the asset
OPT_EXTENDIBLE_WRITER models the theoretical price of extendible writer options. These are options that have their maturity extended to time2 if the option is out of the money at time1.
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.