Consider the case of a chooser option V(C.P.t) which expires at time t =T= 1...
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Consider the case of a chooser option V(C.P.t) which expires at time t =T= 1 with exercise price Ej = 10, where the underlying Call C(S.t) and Put P(S,t) both depend on the same underlying asset S, and both expire at time t = T2 = 3 with exercise price E2 = 40. All options are of European type. The underlying is denoted by S. Assume that S= 50 at time t = 0. Apply the binomial method to determine the value of V at time t =0. Use a time step of dt = 1. The interest rate is r=0.05. Consider the case of p=1/2 with o=0.4. Consider the case of a chooser option V(C.P.t) which expires at time t =T= 1 with exercise price Ej = 10, where the underlying Call C(S.t) and Put P(S,t) both depend on the same underlying asset S, and both expire at time t = T2 = 3 with exercise price E2 = 40. All options are of European type. The underlying is denoted by S. Assume that S= 50 at time t = 0. Apply the binomial method to determine the value of V at time t =0. Use a time step of dt = 1. The interest rate is r=0.05. Consider the case of p=1/2 with o=0.4
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