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Complex Chooser Options

The price of a complex chooser option is given by :

where

,

,

,

and 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

Tc = The time to maturity of the call.

Tp = The time to maturity of the put.

M(a,d; ?) = The cumative bivariate normal distribution function.

N(x) = The normal distribution function

and where I is the solution to

where

,

 

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