Extending Options by Changing Their Underlying Assets: An Anti-crisis Solution

This article aims to examine a new type of exotic option, namely the external extendible option. Such an option has two characteristics: first, its maturity has the possibility to be extended for a given duration; second, once the option is extended, it will be written on a new underlying asset. For such European-style options, closed-form pricing formulas are derived, and analytical properties are examined. External extendible options have numerous applications in different fields. In particular, they can be used as anti-crisis arrangements within the framework of montage of capital-guaranteed funds.