Business, 13.12.2019 19:31 kayranicole1

Consider a chooser option on a stock that pays dividend at the continuously compounded yield of 5%. after one year, its holder will choose whether it becomes a european call option or a european put option, each of which will expire in 3 years with a strike price of $100. the time-0 price of a call option expiring in one year is $9.20. the stock price is $95 at time t = 0. the time-0 price of the chooser option is $28.32. the continuously compounded risk-free interest rate is 5%. find the time-0 price of the european option with strike price of $100 and maturity of 3 years.

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