Pricing Extendible Options Using the Fast Fourier Transform

Figure 1

An example of the payoff function for an extendible call option for 𝐾₁=100,𝐾₂=105,𝑟=0.08,𝜎=0.25,𝑇₁=0.5,𝑇₂=0.75,𝐴=1.