# ChooserBS: Chooser option valuation via Black-Scholes (BS) model In QFRM: Pricing of Vanilla and Exotic Option Contracts

## Description

Compute an exotic option that allow the holder decide the option will be a call or put option at some predetermined future date. In a simple case, both put and call option are plain vanilla option. The value of the simple chooser option is \max{C(S,K,t_1),P(S,K,t_2)}. The plain vanilla option is calculated based on the BS model.

## Usage

 `1` ```ChooserBS(o = OptPx(Opt(Style = "Chooser")), t1 = 9/12, t2 = 3/12) ```

## Arguments

 `o` An object of class `OptPx` `t1` The time to maturity of the call option, measured in years. `t2` The time to maturity of the put option, measured in years.

## Value

A list of class `SimpleChooserBS` consisting of the original `OptPx` object and the option pricing parameters `t1`, `t2`, as well as the computed price `PxBS`.

## Author(s)

Le You, Department of Statistics, Rice University, spring 2015

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10``` ```(o = ChooserBS())\$PxBS o = Opt(Style='Chooser',Right='Other',S0=50, K=50) (o = ChooserBS(OptPx(o, r=0.06, q=0.02, vol=0.2),9/12, 3/12))\$PxBS o = Opt(Style='Chooser',Right='Other',S0=50, K=50) (o = ChooserBS (OptPx(o,r=0.08, q=0, vol=0.25),1/2, 1/4))\$PxBS o = Opt(Style='Chooser',Right='Other',S0=100, K=50) (o = ChooserBS(OptPx(o,r=0.08, q=0.05, vol=0.3),1/2, 1/4))\$PxBS ```

QFRM documentation built on May 29, 2017, 10:12 p.m.