The continuously compounded risk-free rate is 5 and the


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Consider a chooser option on a stock. The stock currently trades for $50 and pays dividend at the continuously compounded yield of 8%. The choice date is two years from now. The underlying European options expire in four years from now and have a strike price of $45. The continuously compounded risk-free rate is 5% and the volatility of the prepaid forward price of the stock is 30%. Find the delta of the chooser option.

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Business Management: The continuously compounded risk-free rate is 5 and the
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