Pricing Extendible Options Using the Fast Fourier Transform

Table 1

Inputs to price the extendible options.

Input	Value
Initial strike price, 𝐾1	100
Initial expiration time, 𝑇1	0.5
Extended strike price, 𝐾2	105
Extended expiration time 𝑇2	0.75
Risk-free rate, 𝑟	0.08
Premium, 𝐴	1