Compute the fair value of achooseroption which expires aftern=10 periods. 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 and they mature 5 periods later, i.e. atn=15.

should be answered by building a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with:T=.25 years,S0=100 ,r=2% ,=30% and a dividend yield ofc=1%. Your binomial model should use a value ofu=1.0395