Previous Topic

Next Topic

Writer Extendible Options

where

c = Price of European call

p = Price of European put

S = The spot of the underlying asset

b = The cost of carry

r = The risk free rate

t1 = Original maturity date

T2 = Time to extended expiry of the option

= Volatility of underlying asset's price

M = The cumulative normal distribution function

X1 = The original strike price

X2 = The strike price after extension

 

See Also

oX_Extendible( ) Function

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.