A chooser option is an option contract that allows the holder to decide whether it is a call or put prior to the expiration date. Consider a European chooser option on a non-dividend paying stock currently trading at S = $95, where the option has a strike price K = $100, a choice date t and a maturity T > t. At choice date t, the holder of the option must choose whether the option is a European call or a European put for the remaining life of the option. Assume the risk-free interest rate is zero. (a) Using appropriate notations, derive an expression for the value of the chooser option at choice date t. [2 marks] (b) Assuming European puts and calls are available for maturity t and T and any strike price, replicate the chooser option using puts, calls and/or other basic market-traded products. [Hint: Make an appropriate transformation for the value of the chooser option at t such that it represents a linear combination of option, bond and/or stock positions.] [ 6 marks] (c) The chooser option is currently quoted at $10, and the price of a European call option maturing at t with strike price $100 is $2. Find the value of a European call option maturing at T with the same strike price. [2 marks]