A complex chooser option gives the owner the choice as some fixed future date (before expiration) to get either a vanilla call or vanilla put option. The call and put option have different strikes and maturities.
The complex chooser option is a generalization to the simple chooser option which allows you to choose between a call and put with both the same strike and expiration date.
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Value of the complex chooser option at the choice date t
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t
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Choice date
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Expiration date of the call option
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Expiration date of the put option
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Strike (excercise) price of the call option
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Strike (excercise) price of the put option
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Price of the underlying asset at time of expiration of the call
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Price of the underlying asset at time of expiration of the call
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Price of the call option at its expiration
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Price of the call option at its expiration
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