Consider a stock paying no dividends. Price movements follow the binomial model with the following tree:

With the prices at each node:

$\backslash$table$[[,$Price$],[$State $0,S_0,100],[$State u$,S_u,140\mathrm{.}0],[$State d$,S_d,51\mathrm{.}0],[$State uu$,S_{},196\mathrm{.}0],[$State ud$,S_{ud},71\mathrm{.}4],[$State du$,S_{du},71\mathrm{.}4],[$State dd$,S_{dd},26\mathrm{.}01]]$

The interest rate is $5\%$ per period.

Consider an exotic Chooser option. This option has a strike price equal to the initial stock price $S_0=100.$ The option can be exercised at maturity, $t=2.$ At time $t=1,$ the holder of the option has the right to choose whether at $t=2$ the option will be a call or a put.

Consider the node