Question: Consider a one year American put option on a share where the current share price is 15 pence, the exercise price is 16 pence, the

Consider a one year American put option on a share where

Consider a one year American put option on a share where the current share price is 15 pence, the exercise price is 16 pence, the risk-free interest rate is 4% per annum, and the volatility of the underlying share is 40% per annum. Use a two-time-step tree to calculate the price of this American put option. At the second time-step of the binomial tree in question 1 (b) calculate and interpret the deltas and the gamma of the American put option

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