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Compute the fair value of a chooser option which expires aftern = 10 n=10periods. At expiration the owner of the chooser gets to choose (at

Compute the fair value of achooseroption which expires aftern = 10

n=10periods. At

expiration the owner of the chooser gets to choose (at no cost) a European call option

or a European put option. The call and put each have strikeK = 100

K=100and they mature

5 periods later, i.e. atn = 15

n=15.

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