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Given a American put option, you should use binomial tree to calculate its Greeks. Let S(0) =100 ---> Stock price, K= 110 --> Strike price,
Given a American put option, you should use binomial tree to calculate its Greeks.
Let S(0) =100 ---> Stock price, K= 110 --> Strike price, r= 0.03 --> Risk free-rate, T=1 (year), volatility= 20%. Use a binomial tree with monthly steps to calculate:
a) Delta
b) Gamma
c) Theta
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