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Payoffs of options on optionsƒ 253

Compound option

ƒ

Chooser option

ƒ

And much, much more.

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T

T

c

E

c

T

T

>

−

ˆ

maturity

with

call

European

an

of

price

the

is

where,

,

0

max

Derivative securities: Options - Some exotic options

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T

T

c

p

c

p

T

T

T

T

>

ˆ

maturity

and

price,

strike (^) ,
underlying
same
with the
call
and
put
European
an
of
prices
the
are
and
where,
,
max