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Let S = $33, s = 24%, r = 7.5%, and d = 2% (continuously compounded). Compute the Black-Scholes gamma (G) of a $30-strike European
Let S = $33, s = 24%, r = 7.5%, and d = 2% (continuously compounded). Compute the Black-Scholes gamma (G) of a $30-strike European put option with 3 months until expiration.
Answers:
a. 0.1655
b. 0.0344
c. 0.0699
Correctd. 0.0627
e. 0.2095
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Corporate Financial Management
Authors: Douglas R. Emery, John D. Finnerty, John D. Stowe
4th Edition
1935938002, 9781935938002
