Dell options expiring in November 2020 are traded on CBOE. Today is 15 November 2020. Dell's last stock

price was $66.56. Using 10-step binomial tree estimate:

a) The option premiums (per 1 share) for the ATM call and put options, assuming that option minimum

strike step is $0.50. Estimate the volatility for the remaining life of the option using GARCH(1,1)

model.

b) What is the expected average daily volatility (annualized) for the remaining life of the option

according to your GARCH estimate?

c) What are the deltas of these options at t=0?

d) What are the gammas of these options at t=0?

e) What are the vegas (per 1% change) of these options at t=0?

f) What are the thetas (per calendar day) of these options at t=0?

g) What are the rhos (per 1% change) of these options at t=0?