NO.PZ2020021203000117
问题如下：
Provide an alternative decomposition of the chooser option to that given in the chapter so that it is a call maturing at time T1 plus a put maturing at time T2 .
选项：
解释：
With the notation in the text we can write max(c, p) = p + max(c - p, 0) = p + max(S - PV(K), 0)
This shows that the chooser option is a portfolio consisting of:
• A put option maturing at time T2, and
• A call option with strike price PV(K) maturing at time T1.
max(c, p) = c + max(p - c, 0) = c + max(PV(K)- S, 0)
This shows that the chooser option is a portfolio consisting of:
• A call option maturing at time T2, and
• A put option with strike price PV(K) maturing at time T1.
