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Writer Extendible Options


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

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