A chooser option has the following properties: At time T C < T, the option gives the

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A chooser option has the following properties:

At time T_C < T, the option gives the holder the right to buy a European call or put option with exercise price E and expiry at time T, for an amount E_C. What is the value of this option when E_C = 0?

Write down the payoff of the option and then use put-call parity to simplify the result.

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:56 AM

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A chooser option has the following properties: At time T C < T, the option gives the

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The payoff of the option is maxE TC 0 maxTC E 0 Using putcall parity the value o...View the full answer

Introduces Quantitative Finance

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