The holder extendible options allows the holder to extend the options lifetime by paying a fixed cash amount. The extended option can sometimes have an adjusted strike.
List of symbols
Value of the holder extendible call option at first expiration
Value of the holder extendible put option at first expiration
Value of the call with extended lifetime and a new strike at first expiration
Value of the put with extended lifetime and a new strike at first expiration
T
First expiration time, time to decide if the option will be extended
