writerextendibleoption

loxx

These options can be exercised at their initial maturity date /I but are extended to T2 if the option is out-of-the-money at ti. The payoff from a writer-extendible call option at time T1 (T1 < T2) is (via "The Complete Guide to Option Pricing Formulas") c(S, X1, X2, t1, T2) = (S - X1) if S>= X1 else cBSM(S, X2, T2-T1) and for a writer-extendible put is ...