# Documentation

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# chooserbybls

Price European simple chooser options using Black-Scholes model

## Syntax

``` Price = chooserbybls(RateSpec, StockSpec, Settle,Maturity, Strike) ```

## Arguments

 `RateSpec` The annualized continuously compounded rate term structure. For information on the interest rate specification, see `intenvset`. `StockSpec` Stock specification. See `stockspec`. `Settle` `NINST`-by-`1` vector of settlement or trade dates. `Maturity` `NINST`-by-`1` vector of maturity dates. `Strike` `NINST`-by-`1` vector of strike price values. `ChooseDate` `NINST`-by-`1` vector of chooser dates.

## Description

``` Price = chooserbybls(RateSpec, StockSpec, Settle,Maturity, Strike)``` computes the price for European simple chooser options using the Black-Scholes model.

`Price` is a `NINST`-by-`1` vector of expected prices.

### Note

Only dividends of type `continuous` can be considered for choosers.

## Examples

collapse all

Consider a European chooser option with an exercise price of \$60 on June 1, 2007. The option expires on December 2, 2007. Assume the underlying stock provides a continuous dividend yield of 5% per annum, is trading at \$50, and has a volatility of 20% per annum. The annualized continuously compounded risk-free rate is 10% per annum. Assume that the choice must be made on August 31, 2007. Using this data:

```AssetPrice = 50; Strike = 60; Settlement = 'Jun-1-2007'; Maturity = 'Dec-2-2007'; ChooseDate = 'Aug-31-2007'; RiskFreeRate = 0.1; Sigma = 0.20; Yield = 0.05```
```Yield = 0.0500 ```

Define the `RateSpec` and `StockSpec`.

```RateSpec = intenvset('Compounding', -1, 'Rates', RiskFreeRate, 'StartDates',... Settlement, 'EndDates', Maturity); StockSpec = stockspec(Sigma, AssetPrice,'continuous',Yield);```

Price the chooser option.

```Price = chooserbybls(RateSpec, StockSpec, Settlement, Maturity,... Strike, ChooseDate)```
```Price = 8.9308 ```

## References

Rubinstein, Mark. `“Options for the Undecided.”` Risk. Vol. 4, 1991.