Skip to content

feat: Implement Chooser option pricing model #242

@joaquinbejar

Description

@joaquinbejar

Description

Implement pricing support for Chooser options. Chooser options allow the holder to choose whether the option becomes a call or a put at a specified date before expiration.

Current State

  • Chooser options return PricingError::UnsupportedOptionType
  • No pricing model for choice flexibility

Target State

  • Fully functional Chooser option pricing
  • Support for simple and complex choosers
  • Accurate pricing of the choice flexibility

Tasks

  • Implement simple chooser options (same strike and expiration)
  • Implement complex chooser options (different strikes/expirations)
  • Implement Greeks calculations
  • Add comprehensive tests
  • Add documentation with examples

Technical Notes

Simple Chooser (Rubinstein 1991)

  • Same strike K and expiration T for both call and put
  • Choice date t < T

Alternative decomposition: Simple Chooser = Call(K, T) + Put(K, t) * e^(-(r-q)(T-t))

Estimated Effort

Medium (6-8 hours)

Metadata

Metadata

Assignees

No one assigned

    Labels

    enhancementNew feature or requestpricingRelated to options pricingpriority-lowNice-to-have improvements

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions