Holder Extendible option valuation via Black-Scholes (BS) model

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

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.