Holder Extendible Options
Extendible Call 

where 
, ,

and where 
I1 is the implied spot found from a General BlackScholes call, where the option value is A, the Strike is X2 and the time to expiry is T2t1. I2 is the implied spot found from a General BlackScholes call, where the option value is I2X1+A, the Strike is X2 and the time to expiry is T2t1. 
where 
c = Price of European call S = The spot of the underlying asset b = The cost of carry r = The risk free rate t_{1} = Original maturity date T_{2} = Time to extended expiry of the option = Volatility of underlying asset's price M = The cumulative normal distribution function N = The cumulative normal distribution function X_{1} = The original strike price X_{2} = The strike price after extension 
Extendible put 

where 
, ,

and where 
I1 is the implied spot found from a General BlackScholes put, where the option value is X1I1+A, the Strike is X2 and the time to expiry is T2t1. I2 is the implied spot found from a General BlackScholes put, where the option value is A, the Strike is X2 and the time to expiry is T2t1. 
where 
p = Price of European put S = The spot of the underlying asset b = The cost of carry r = The risk free rate t_{1} = Original maturity date T_{2} = Time to extended expiry of the option = Volatility of underlying asset's price M = The cumulative normal distribution function N = The cumulative normal distribution function X_{1} = The original strike price X_{2} = The strike price after extension 

See Also 
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