@FUNCTION=OPT_EXTENDIBLE_WRITER
@SYNTAX=OPT_EXTENDIBLE_WRITER(call_put_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_EXTENDIBLE_WRITER models the theoretical price of extendible writer options. These are options that can be exercised at an initial period, @time1, or their maturity extended to @time2 if the option is out of the money at @time1.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike1 is the strike price at which the option is struck.
@strike2 is the strike price at which the option is re-struck if out of the money at @time1.
@time1 is the initial maturity of the option in years.
@time2 is the is the extended maturity in years if chosen.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@volatility is the annualized volatility in price of the underlying asset.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA
