Communications of the
Korean Mathematical Society CKMS

We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.

Keywords: Chooser option, power option, exchange option, chooser power option, chooser exchange option

MSC numbers: Primary 91G20