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Simple Chooser Options

The price of a simple chooser option is given by :

where

where

S = The spot of the underlying asset

b = The cost of carry

r = The risk free rate

X = The strike price

= Volatility of underlying asset's price

t1 = Time to when the holder must choose call or put

T2 = Time to maturity

N = The cumulative normal distribution function

 

See Also

oX_Chooser_Smpl( ) Function

oX_Chooser_Smpl_Imp( ) Function

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