Component 
Resolution  Exotic Options 




Function Definition 
oX_Extendible(Holder, CallPut, ValueDate, FirstExpiryDate, SecondExpiryDate, ExtraPremium, Spot, FirstStrike, SecondStrike, RiskFree, Carry, Volatility, OutputFlag) Calculates the value of a holder or writerextendible option using Longstaff's (1990) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

Holder 

Is the option extendible by the holder or the writer of the option? 

Enumerated Constant 

1  Holder 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

ValueDate 

Valuation date. 

Date 


FirstExpiryDate 

Date at which the option either expires or is extended. 

Date 


SecondExpiryDate 

Date at which the option will expire if extended. 

Date 


ExtraPremium 

Amount paid by the holder to extend the option. Not used for WriterExtendible options. 

Double 


Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

FirstStrike 

The strike price of the option in the period prior to the first expiry date. 

Double 

FirstStrike > 0 

SecondStrike 

The strike price of the option after it has been extended. 

Double 

SecondStrike > 0 

RiskFree 

Risk free interest rate, expressed as an annually compounded Actual 365 rate. 

Double 


Carry 

Net cost of carry, expressed as an annually compounded Actual 365 rate. 

Double 


Volatility 

Annualized volatility of the underlying asset, expressed as a decimal. 

Double 

Volatility > 0 

OutputFlag 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. 

Enumerated Constant 

0  Value & Greeks 
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