Multiple Exercise Options
Multiple exercise options, as the name implies, are options whose payoff is based on multiple exercise dates.
Multiple exercise option models:
Simple Chooser 
A chooser option allows the holder to determine at some date, after the trade date, whether the option becomes a plain vanilla call or put. Chooser options are also called "as you like it" options. Chooser options are useful for hedging a future event that might not occur. Due to their increased flexibility, chooser options are more expensive than plain vanilla options. It is assumed at the options expiration date that a holder of the chooser option will choose the more valuable of the put or call option. The less valuable option that was not chosen will become worthless. Chooser options can be priced analytically using a model introduced by Rubinstein (1991). The FinOptions function Chooser can be used to evaluate European simple chooser options. 


Complex Chooser 
A complex chooser option allows the holder to determine at some date, after the trade date, whether the option is to be a standard call option with an expiration date Tc and strike Xc, or a put option with an expiration date Tp and strike Xp. Similar to the simple chooser model, a complex chooser option will be more expensive than a plain vanilla option. Complex chooser options can be priced analytically using a model introduced by Rubinstein (1991). The FinOptions function ComplexChooser can be used to evaluate European complex chooser options. 


Compound 
A compound option is an option on an option. Therefore, when one option is exercised, the underlying security is another option. There are four types of possible compound options: a call on a call, a call on a put, a put on a call, and a put on a put. The owner of a compound option has until the expiration date of the compound option to determine whether to exercise the compound option. If exercised, the owner will receive the underlying option with its own exercise price and time until expiration. If the underlying option is exercised, the owner will receive the underlying security. European compound options can be priced analytically using a model published by Rubinstein (1991). A binomial lattice is used for the numerical calculation of an American or European style exchange option. The FinOptions functions Compound and CompoundBin can be used to evaluate compound options with European or American exercise types, respectively. 


Executive 
Executive stock options are usually atthemoney options that are issued to motivate employees to act in the best interest of the company. They cannot be sold and often last as long as 10 or 15 years. The executive model takes into account that an employee often looses their options when they leave the company before expiration. The value of an executive option equals the standard BlackScholes model multiplied by the probability that the employee will stay with the firm until the option expires. Executive stock options can be priced analytically using a model published by Jennergren and Naslund (1993). The FinOptions function Executive can be used to evaluate European complex chooser options. 


Forward Start 
A forward start option is an option which is paid for today, but will start at some determined time in the future known as the issue date. The option usually starts atthemoney or proportionally in or outofthemoney at a future date. The strike is set to a positive constant a times the asset price S at a future date. If a is less than one, the call (put) will start 1  a percent inthemoney (outofthemoney); if a is one, the option will start atthemoney; and if a is larger than one, the call (put) will start a  1 percent outofthemoney (inthemoney).[1] Forward start options can be priced analytically using a model published by Rubinstein (1990). The FinOptions function ForwardStart can be used to evaluate European forward start options. 


Time Switch 
For a discrete timeswitch call (put) option, the holder receives an amount ADt at expiration for each time interval, Dt, the corresponding asset price has been above (below) the strike price. If some of the option’s total lifetime has passed, it is required to add a fixed amount to the pricing formula. Discrete timeswitch options can be priced analytically using a model published by Pechtl (1995). The FinOptions function TimeSwitch can be used to evaluate European discrete timeswitch options. 


Writer Extendible 
Writer extendible options can be found embedded in various financial contracts. For example, corporate warrants often give the issuing firm the right to extend the life of the warrants. These options can be exercised at their initial maturity, but are extended to a new maturity if they are outofthemoney at initial maturity. Discrete timeswitch options can be priced analytically using a model published by Longstaff (1995). The FinOptions function WriterExtendible can be used to evaluate European writer extendible options. 
The Chooser function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European simple chooser option using Rubinstein’s model.
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.
The Compound function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European compound option using Rubinstein’s model.
The CompoundBin function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of an American or European style compound option using a binomial model. This model evaluates compound options where the compound option and the underlying option both expire at the same time.
The Executive function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European style executive option using Jennergren and Naslund’s model.
The ForwardStart function calculates the theoretical price, sensitivities and the implied volatility value of a European style forward start option using Rubinstein’s model.
The TimeSwitch function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European style discrete time switch option using Pechtl’s model.
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.
The OptionsMC function calculates the theoretical price of a standard European option using a Monte Carlo technique.
References
[1] Haug E.G., The complete guide to option pricing formulas, 1998, McGrawHill