OPT_TIME_SWITCH(call_put_flag,spot,strike,a,time,m,dt,rate,cost_of_carry,volatility)
call_put_flag: 'c' for a call and 'p' for a put
spot: spot price
strike: strike price
a: amount received for each time period
time: time to maturity in years
m: number of time units the option has already met the condition
dt: agreed upon discrete time period expressed as a fraction of a year
rate: annualized risk-free interest rate
cost_of_carry: net cost of holding the underlying asset
volatility: annualized volatility of the asset
OPT_TIME_SWITCH models the theoretical price of time switch options. (Pechtl 1995). The holder receives a * dt for each period that the asset price was greater than strike (for a call) or below it (for a put).
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.