Problem 43.1 Consider a chooser option on a stock. The stock currently trades for $50 and pays dividend at the continuously compounded yield of 8%. The choice date is two years from now. The underlying European options expire in four years from now and have a strike price of $45. The continuously compounded risk- free rate is 5% and the volatility of the prepaid forward price of the stock is 30%. Find the delta of the European call with strike price of $45 and maturity of 4 years.