The WriterExtendible function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European style writer extendible option using Longstaff’s model. See Multiple Exercise Options for a further explanation.
WriterExtendible 
(OptionType, ModelStatistic, Asset, StrikeInitial, StrikeExtended, TimeInitial, TimeExtended, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
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 •InitialStrikeSensativity = 18 •InitialImpliedStrike = 19 •ExtendedStrikeSensativity = 20 •ExtendedImpliedStrike = 21 
Asset 
The price of the underlying asset. Must be > 0. 
StrikeInitial 
The strike price of the initial option. Must be > 0. 
StrikeExtended 
The strike price of the extended option. Must be > 0. 
TimeInitial 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the initial expiration of the option. Must be > 0. 
TimeExtended 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the extended expiration of the 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 writer extendible call option with the original time to expiration 80 days, which will be extended 80 days if the option is outofthe money at the original time. The asset price is $38 and the initial exercise price is $40. If the option is extended the price is adjusted to $50. The riskfree interest rate is 6% per annum, the yield rate is 4% per annum, and the annual volatility is 30%. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
1.396428 
Asset 
38 

2 
Delta: 
0.392833 
StrikeInitial 
40 

3 
Gamma: 
0.070835 
StrikeExtended 
50 

4 
Theta: 
0.013200 
TimeInitial 
80 

5 
Implied Vol.: 
0.314363 
TimeExtended 
160 

6 
Vega: 
0.071693 
Volatility 
30% 

7 
Rho: 
0.030536 
InterestRate 
6% 

8 
Psi: 
0.033646 
YieldRate 
4% 

9 
Lambda: 
10.689896 
MarketPrice 
1.5 

18 
Initial Strike Sens: 
0.328257 
TimeFormat 
Days 

19 
Initial Implied Strike: 
39.694241 



20 
Extended Strike Sens: 
0.008019 



21 
Extended Implied Strike: 
44.859197 