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I need help to find this Greeks gamma and also want to know what they mean with monthly steps? should I do the binomial tree
I need help to find this Greeks gamma and also want to know what they mean with monthly steps? should I do the binomial tree over 12 months because T=1 (year)? How many periods should we have?
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) Gamma?
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