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what is the Delta and Gamma of the perpetual American put options under the Black-Scholes model? Draw the plots of Delta and Gamma as functions
what is the Delta and Gamma of the perpetual American put options under the Black-Scholes model? Draw the plots of Delta and Gamma as functions of the spot stock price S0 for K = $110, r = 5%, = 25%, q (dividend) = 0.
Stock price follows dS(t) = rS(t)dt + S(t)dW(t)
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