Before revision:  Closed-form solution for these options first appeared in Longstaff (1990) for the case when  underlying asset follows a geometric Brownian motion with the constant interest rate and volatility. Unfortunately there are several typographical errors in the published formula for the holder-extendible put. These are subsequently repeated in textbooks, other papers and software. This short paperpresents a correct formula. Also, to generalize, the option price is derived for the case of  a geometric Brownian motion with the time-dependent drift and volatility  .
After revision:  Closed-form solution for these options first appeared in Longstaff (1990) for the case when underlying asset follows a geometric Brownian motion with the constant interest rate , volatility, and non-negative "dividend" yield. In this paper, the option price is derived for the case of a geometric Brownian motion with the time-dependent drift and volatility .