Let S = 62, K = 55, r = 0.06, 0 = 0.35, 8= 0, T = 1, and pricing is to be done using the two-period binomial approximation (i.e. n = 2 periods). A chooser option is an exotic option that lets you choose after a certain period whether an option is a European call or a European put.
Suppose that the time at which you need to choose is equal to T/2. Note that K is the strike that will apply to the call or the put depending on what is chosen. What is the price of this chooser option?
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