# HolderExtendibleBS: Holder Extendible option valuation via Black-Scholes (BS)... In QFRM: Pricing of Vanilla and Exotic Option Contracts

## Description

Computes the price of exotic option (via BS model) which gives the holder the right to extend the option's maturity at an additional premium.

## Usage

 ```1 2``` ```HolderExtendibleBS(o = OptPx(Opt(Style = "HolderExtendible")), k = 105, t1 = 0.5, t2 = 0.75, A = 1) ```

## Arguments

 `o` An object of class `OptPx` `k` The exercise price of the option at t2, a numeric value. `t1` The time to maturity of the call option, measured in years. `t2` The time to maturity of the put option, measured in years. `A` The corresponding asset price has exceeded the exercise price X.

## Value

The original `OptPx` object and the option pricing parameters `t1`, `t2`,`k`,`A`, and computed price `PxBS`.

## Author(s)

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

## References

Hull, J.C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html
Haug, Espen G.,Option Pricing Formulas, 2ed.

## Examples

 ```1 2 3 4 5 6 7 8 9``` ```(o = HolderExtendibleBS())\$PxBS o = Opt(Style='HolderExtendible',Right='Call', S0=100, ttm=0.5, K=100) o = OptPx(o,r=0.08,q=0,vol=0.25) (o = HolderExtendibleBS(o,k=105,t1=0.5,t2=0.75,A=1))\$PxBS o = Opt("HolderExtendible","Put", S0=100, ttm=0.5, K=100) o = OptPx(o,r=0.08,q=0,vol=0.25) (o = HolderExtendibleBS(o,k=90,t1=0.5,t2=0.75,A=1))\$PxBS ```

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