Chooser options on various underlying options
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We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.
Abstract
We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.
참고문헌 (12)
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