NO.PZ2023091802000126
问题如下：
Assume a European chooser option where stock price is $10, strike price is $10, volatility is 20%, dividend yield is 0%, and risk-free rate is 4%. The choice can be made within the next six months (T1 = 0.5 year) and the option will expire in one year (T2 = 1.0 year). What is a synthetic (portfolio) equivalent to the chooser option?
选项：
A.
A call option with strike price 10 and maturity 1 year and a put option with strike price 9.80 and maturity 0.5 year.
B.
A call option with strike price 10 and maturity 0.5 year and a put option with strike price 9.80 and maturity 1 year.
C.
A put option with strike price 10 and maturity 1 year and a put option with strike price 9.80 and maturity 0.5 year.
D.
A put option with strike price 10 and maturity 0.5 year and a call option with strike price 9.80 and maturity 1 year.
解释：
老师好，不应该是一直持有一个看涨期权，没有看跌吗，因为max（0，-0.2）应该是0，还是我哪里算错了吗？
