Options on Options
Put on a call 
Call on a call 
Call on a put 
Put on a put 
where 
, ,

and where I is the implied spot price from generalized BlackScholes call, where the option value is X2 , the strike price is X1, and the time to maturity is T2t1. 
and where 
P_{call} = price of a put on call, option on option C_{put} = price of a put on call, option on option c_{call} = price of a call on call, option on option C_{put} = price of a put on call, option on option S = The spot of the underlying asset b = The cost of carry r = The risk free rate t1 = Time to maturity of the option on the option T2 = Time to maturity of the underlying option = Volatility of underlying asset's price X1 = Strike of the underlying option X2 = Strike of the option on the option M = The cumulative normal distribution function


See Also 
Copyright 2013 Hedgebook Ltd.