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.
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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.
Choose later, with full freedom
The simple chooser lets you decide, on a future date, between a call and a put, but both must have the same strike and expiry. The complex chooser drops that restriction: the call and put you can choose may have completely different strikes and terms. It's maximum flexibility for someone who knows neither the direction nor the details of what they'll want.
That generality charges a price in complexity. To price it, Rubinstein showed in 1991 that you must find the critical asset price at which, on the choice date, the call and put are worth the same, and combine the probabilities via the bivariate normal distribution with correlations tied to the two expiries. When call and put coincide in strike and term, it collapses back to the simple chooser, a good sanity check.
Enter the spot price, the call and put strikes, the choice date, the two expiries, the interest rate and the volatility. The tool finds the critical point and returns the complex chooser premium. It's more expensive than the simple one, because the freedom to choose between different structures is worth money.
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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.