Forward-Start Option
Computes the price of a forward-start call: an option granted now, but whose strike is only set on a future date, usually as a proportion of the price at that moment. It's the structure behind employee option plans and cliquets, where new at-the-money options are issued periodically. Since the strike tracks the future price, the value doesn't depend on the current level in a trivial way. Enter the spot price, the moneyness, the rate, the volatility, the grant date and the expiry.
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Forward-Start Option
Computes the price of a forward-start call: an option granted now, but whose strike is only set on a future date, usually as a proportion of the price at that moment. It's the structure behind employee option plans and cliquets, where new at-the-money options are issued periodically. Since the strike tracks the future price, the value doesn't depend on the current level in a trivial way. Enter the spot price, the moneyness, the rate, the volatility, the grant date and the expiry.
The option whose strike isn't born yet
Imagine receiving today an option whose strike will only be set six months from now, and set at the money, equal to the asset price at that future moment. That's the forward-start option. It's the centerpiece of employee option plans, where the company promises to grant at-the-money options periodically, and of cliquets, a series of these options strung together.
The curious thing is that, since the strike will track the future asset price, the option's value doesn't depend on the current price directly, but rather on the volatility and the time to and after the grant. Rubinstein derived the formula in 1991, showing that the premium scales linearly with today's price, but its proportion is fixed by the dates and the chosen moneyness.
Enter the spot price, the future strike's moneyness (1 for at the money), the interest rate, the volatility, the grant date and the expiry. The tool returns the forward-start call premium. It's the tool for valuing option-based compensation programs before they begin.
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Gap Option
Computes the price of a gap call, where the strike that triggers exercise differs from the strike that sets the payoff. The option pays (S − K1) when the price exceeds K2, and that separation creates a jump (gap) in the payoff exactly at K2: the option can start paying with a positive or negative value. It's the theoretical basis of many discontinuous-payoff options. Enter the spot price, the payment strike, the trigger strike, the rate, the volatility and the term.
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.
Power Option
Computes the price of a power call option, whose payoff is the asset price raised to a power, minus the strike: max(S^n − K, 0). Raising the price to a power hugely amplifies the moves, so these options have explosive payoffs and high premiums. They're used for leveraged bets on volatility and in structured products. The growth prefactor already incorporates the discounting, with no double counting. Enter the spot price, the strike, the power, the rate, the volatility and the 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.