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Price European simple chooser options using Black-Scholes model


Price = chooserbybls(RateSpec, StockSpec, Settle,Maturity, Strike)



The annualized continuously compounded rate term structure. For information on the interest rate specification, see intenvset.


Stock specification. See stockspec.


NINST-by-1 vector of settlement or trade dates.


NINST-by-1 vector of maturity dates.


NINST-by-1 vector of strike price values.


NINST-by-1 vector of chooser dates.


Price = chooserbybls(RateSpec, StockSpec, Settle,Maturity, Strike) computes the price for European simple chooser options using the Black-Scholes model.

Price is a NINST-by-1 vector of expected prices.


Only dividends of type continuous can be considered for choosers.


collapse all

Consider a European chooser option with an exercise price of $60 on June 1, 2007. The option expires on December 2, 2007. Assume the underlying stock provides a continuous dividend yield of 5% per annum, is trading at $50, and has a volatility of 20% per annum. The annualized continuously compounded risk-free rate is 10% per annum. Assume that the choice must be made on August 31, 2007. Using this data:

AssetPrice = 50;
Strike = 60;
Settlement = 'Jun-1-2007';
Maturity = 'Dec-2-2007'; 
ChooseDate = 'Aug-31-2007';
RiskFreeRate = 0.1;
Sigma = 0.20;
Yield = 0.05
Yield = 0.0500

Define the RateSpec and StockSpec.

RateSpec = intenvset('Compounding', -1, 'Rates', RiskFreeRate, 'StartDates',...
Settlement, 'EndDates', Maturity);
StockSpec = stockspec(Sigma, AssetPrice,'continuous',Yield);

Price the chooser option.

Price  = chooserbybls(RateSpec, StockSpec, Settlement, Maturity,...
Strike, ChooseDate)
Price = 8.9308


Rubinstein, Mark. “Options for the Undecided.” Risk. Vol. 4, 1991.

Introduced in R2008b