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WOLFRAM|DEMONSTRATIONS PROJECT

Chooser Options

​
quantity
price
delta
gamma
theta
rho
vega
stock volatility (%)
30.
risk-free rate (%)
5.
T
2
-
T
1
(years)
0.5
T
1
- t (years)
0.5
t = present;
T
1
= put/call choice;
T
2
= put/call expiry
put
call
chooser
This Demonstration illustrates the price and "greeks" for chooser options in comparison to those for regular put and call options.
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