QFRM (version 1.0.1)

HolderExtendibleBS: 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

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.

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

(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