17. Consider two-period European options with a strike of 100 in the binomial model of Figure 1. Assume the per-period interest rate is R= 1.02.
(a) Find the value of a straddle in this model.
(b) Find the value of a chooser where the holder must decide between the call and put at the end of one period.
(c) Why is the difference in values between the straddle and chooser so small?
(d) What are the deltas of the straddle and the chooser?
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