The ComplexChooser function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European complex chooser option using Rubinstein’s model. See Multiple Exercise Options for a further explanation.
ComplexChooser 
(ModelStatistic, Asset, StrikeCall, StrikePut, TimeChoose, TimeCall, TimePut, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •CallStrikeSensativity = 14 •CallImpliedStrike = 15 •PutStrikeSensativity = 16 •PutImpliedStrike = 17 
Asset 
The price of the underlying asset. Must be > 0. 
StrikeCall 
The price at which the asset can be purchased if the call option is chosen. Must be > 0. 
StrikePut 
The price at which the asset can be purchased if the put option is chosen. Must be > 0. 
TimeChoose 
The time, expressed in either Days or Years (depending on the TimeFormat value), until the buyer has to choose whether the option is a call or put. Must be: 0 < TimeChoose < TimeCall 0 < TimeChoose < TimePut. 
TimeCall 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the expiration of the call option. Must be > 0. 
TimePut 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the expiration of the put option. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
Example
Calculate all of functions for a complex chooser option whose asset price 30 days from the chooser date, 90 days from the call expiration, and 120 days the put expiration is $38. The exercise price of the call is $40, the exercise price of the put is $35, the riskfree interest rate is 8% per annum, the yield rate is 6.25% per annum, and the annual volatility is 20%. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
Asset 
38 

1 
Theoretical: 
1.098943 
StrikeCall 
40 

2 
Delta: 
0.133656 
StrikePut 
35 

3 
Gamma: 
0.185636 
TimeChoose 
30 

4 
Theta: 
0.014691 
TimeCall 
90 

5 
Implied Vol.: 
0.190327 
TimePut 
120 

6 
Vega: 
0.103123 
Volatility 
20% 

7 
Rho: 
0.005067 
InterestRate 
8% 

8 
Psi: 
0.008108 
YieldRate 
6.25% 

9 
Lambda: 
4.621639 
MarketPrice 
1 

14 
Call Strike Sens: 
0.243872 
TimeFormat 
Days 

15 
Call Implied Strike: 
40.436572 



16 
Put Strike Sens: 
0.164997 



17 
Put Implied Strike: 
34.311110 