Problem 5.2 (21.31 in Hull) Estimate Delta, Gamma and Theta from the tree in Example 21.3 in Hull (page 457). See the figure below. Explain how each can be interpreted. Figure 21.5 Binomial tree produced by DerivaGem for American call option on an index futures contract (Example 21.3). At each node: Upper value = Underlying Asset Price Lower value = Option Price Shading indicates where option is exercised 424.19) 124.19 1 389.00 89.00 Strike price = 300 Discount factor per step = 0.9934 Time step, dt = 0.0833 years, 30.42 days Growth factor per step, a = 1.0000 Probability of up move, p = 0.4784 Up step size, u = 1.0905 Down step size, d = 0.9170 2 356.73 56.73 327.14 33.64 300.00 300.00 19.16 7 12.90 275.11 6.13 252.29 0.00 356.73 56.73 327.14 27.14 300.00 0.00 275.11 0.00 252.29 1 0.00 231.36 0.00 212.17 0.00 Node Time: 0.0000 0.0833 0.1667 0.2500 0.3333 Problem 5.2 (21.31 in Hull) Estimate Delta, Gamma and Theta from the tree in Example 21.3 in Hull (page 457). See the figure below. Explain how each can be interpreted. Figure 21.5 Binomial tree produced by DerivaGem for American call option on an index futures contract (Example 21.3). At each node: Upper value = Underlying Asset Price Lower value = Option Price Shading indicates where option is exercised 424.19) 124.19 1 389.00 89.00 Strike price = 300 Discount factor per step = 0.9934 Time step, dt = 0.0833 years, 30.42 days Growth factor per step, a = 1.0000 Probability of up move, p = 0.4784 Up step size, u = 1.0905 Down step size, d = 0.9170 2 356.73 56.73 327.14 33.64 300.00 300.00 19.16 7 12.90 275.11 6.13 252.29 0.00 356.73 56.73 327.14 27.14 300.00 0.00 275.11 0.00 252.29 1 0.00 231.36 0.00 212.17 0.00 Node Time: 0.0000 0.0833 0.1667 0.2500 0.3333