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Let S = $35, s = 20%, r = 6.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $40-strike European
Let S = $35, s = 20%, r = 6.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $40-strike European put option with 6 months until expiration.
| a. | 0.0573 | |
| b. | 0.0895 | |
| c. | 0.0637 | |
| d. | 0.0500 | |
| e. | 0.7477 |
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A Study In Public Finance
Authors: A. C. Pigou
1st Edition
1443722766, 978-1443722766
