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enhancementNew feature or requestNew feature or requestpricingRelated to options pricingRelated to options pricingpriority-lowNice-to-have improvementsNice-to-have improvements
Description
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)
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enhancementNew feature or requestNew feature or requestpricingRelated to options pricingRelated to options pricingpriority-lowNice-to-have improvementsNice-to-have improvements