Chooser Option
Computes the price of a simple chooser option with the Rubinstein formula: an option that lets the holder decide, on a future date, whether it will be a call or a put, both with the same strike and expiry. It's the ideal bet for someone expecting a big move but not yet knowing the direction, costing more than a plain option and less than buying a call and a put separately. Enter the spot price, the strike, the interest rate, the volatility, the expiry and the choice date.
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Chooser Option
Computes the price of a simple chooser option with the Rubinstein formula: an option that lets the holder decide, on a future date, whether it will be a call or a put, both with the same strike and expiry. It's the ideal bet for someone expecting a big move but not yet knowing the direction, costing more than a plain option and less than buying a call and a put separately. Enter the spot price, the strike, the interest rate, the volatility, the expiry and the choice date.
Decide later whether you want a call or a put
Sometimes you know a big move is coming but have no idea of the direction. The chooser option was made for this. It postpones the decision: on an agreed future date, you choose whether it becomes a call or a put, both with the same strike and expiry. Until then, you keep both possibilities open.
That's why the chooser costs more than a plain directional option but less than buying a call and a put separately, which would give the same flexibility more expensively. Mark Rubinstein derived the closed form in 1991, showing that a simple chooser equals a call to expiry plus a put that expires on the choice date.
Enter the spot price, the strike, the interest rate, the volatility, the expiry and the date the choice will be made. The tool returns the chooser premium. The earlier the choice date, the more it resembles a plain option; the later, the more expensive, because the flexibility lasts longer.
Related Tools
Complex Chooser Option (Rubinstein)
Computes the price of a complex chooser option with the Rubinstein (1991) formula: on the choice date, the holder decides between a call and a put that may have different strikes and expiries. It's the general version of the simple chooser, and because it allows distinct parameters for each side it requires the bivariate normal and a search for a critical price. When the call and put share the same strike and expiry, it collapses to the simple chooser. Enter the spot price, the call and put strikes, the choice date, the two expiries, the rate and the volatility.
Down-and-Out Barrier Call
Computes the price of a down-and-out barrier call: an option that ceases to exist if the asset touches a barrier below the current price before expiry. Because of that knockout risk, it costs less than a plain call, and the difference is exactly the value of the down-and-in version. The Reiner-Rubinstein closed form holds for a barrier at or below the strike. Enter the spot price, the strike, the barrier, the interest rate, the term and the volatility.
Contingent-Premium Put Option
Computes the fair premium of a contingent-premium (pay-later) put option. As in the call version, the buyer pays only at expiry and only if the put finishes in the money. It's an attractive structure for those wanting protection with no upfront outlay, at the cost of a higher premium if the insurance is actually triggered. The price comes from the Black-Scholes put value divided by the exercise probability. Enter price, strike, rate, dividend, volatility and term.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.