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The stock (underlying) moves as follows: S0=59.10, S1u=68.57, S1d=41.38, S2uu=91.94, S2ud=46.06, S2du=58.06, S2dd=37.81. The CCIR is 1.15%. Find the price of a Choosers Option with
The stock (underlying) moves as follows: S0=59.10, S1u=68.57, S1d=41.38, S2uu=91.94, S2ud=46.06, S2du=58.06, S2dd=37.81. The CCIR is 1.15%. Find the price of a Choosers Option with exercise t=2, strike price $47.61. In such option, the investor needs to declare at t=1 whether the option will be a Put or a Call with strike price $47.61 and expiration t=2. Note: in some instances, the risk-neutral probabilities here can be bigger than 1 (just work with any number you find).
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