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The following table lists the price of a share in Lachlin Bank and the price of its corresponding European option: Lachlin Bank Price History Year

The following table lists the price of a share in Lachlin Bank and the price of its corresponding European option:

Lachlin Bank Price History
Year Price of Share ($) Price of Option ($)
2001 50 10
2002 51 15
2003 52 25

With the above information, calculate the following greek letters, assuming that the delta is constant in the ranges $50 to $51, and $51 to $52, and the gamma is constant in the range $50 to $52. Give your answer to 3 decimal places.

a)Delta of the share when price is between $50 and $51 =

b)Delta of the share when price is between $51 and $52 =

c)Gamma of the share when price is between $50 and $52 =

Could you please provide formulas to follow for both Delta and Gamma?

Thank you

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