Chooser Option

From ThetaWiki

Description

A Chooser option gives the owner the choice at some fixed future date (before expiration) to pick either a vanilla call or put option. In a simple chooser option, the call and put have both the same strike and expiration date.

ThetaScript

% The model chooser computes the value of the option to
% choose a put or a call option at time t=0.5 
Model chooser
    import S "Underlying stock"
    import EUR "Numeraire"
    import K "Strike"
    export V "Option value"
 
    P=E(V!)
 
    Theta 0.5
 
    if E(V1!)>E(V2!)
       V=V1!
    else
       V=V2! 
    end
 
    Theta 0.5
 
    V1 = max(K-S,0)*EUR
    V2 = max(S-K,0)*EUR
end