The text derives a decomposition of a particular type of chooser option into a call maturing at
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The text derives a decomposition of a particular type of chooser option into a call maturing at time T2 and a put maturing at time T1. By using put–call parity to obtain an expression for instead of P, derive an alternative decomposition into a call maturing at time T1 and a put maturing at time T2.
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Substituting for putcall parity gives Th...View the full answer
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