The chooser (aka, as you like it) option has one strike price (K = $40.00 in my example) but two key dates (T1 and T2). On the first date (T1), the holder "chooses" it to be either a call or a put. At that point, it becomes a standard call/put with a remaining life of Δt = T2 - T1. In the second half of the video, I show that its value is equal to a PACKAGE consisting of a call (with maturity = T2) plus exp(-qΔt) units of a put option with an adjusted strike price, = K*exp[-(r-q)Δt], and maturity of T1.
David's XLS: https://trtl.bz/2AvXXfe
David's XLS: https://trtl.bz/2AvXXfe
Last edited:
