OPT_EXTENDIBLE_WRITER(call_put_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
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.
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.