Online TimeSwitch Option Calculator

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powered by
Derivative toolbox 4.0 - beta
 Output 
Model Input
Volatility
Time to maturity
Strike
Time of first sample
Number of samples
The maximum cash ammount.
Interest rate
..results..

Description

The time switch option has a payout that depends on the amount of time that the underlying spends above/below the strike.
The payout of a time switch call option with strike 105. The asset is monitored at 10 dates, and ends up 4 times above the strike, giving a 40% payout.

Relevant Equations

The payoff equation for this option is given by:

payoff equation