The method for calculating Greek letter is similar to that used for trees. Delta, gamma, and thats can be calculated directly from the fr values on the grid. For veg is necessary to make a small change to volatility and recalculate the value of the derivative using the same grid. 17.1.

Which of the following can be estimated for an American option by constructing single binomial tree delta, gamma, vega, theta, cho? 17.2 Calculate the price of a 3-month American put option on a non-dividend paying stock when the stock price is $60, the strike price is $60, the risk-free interest rate is 10% per anum, and the volatility is 45% per annum. Use a binomial tree with a time interval of I month.