Construct a binomial tree model for a European call (EC) option with S0 = 55; K = 60; u = 1.2; T = 10 years, r = 5%. Calculate option delta at each point on the tree. Plot time-zero delta of the European call option as a function of the initial stock prices; S0 = 5, S0 = 10, S0 = 20, S0 = 30, S0 = 40, S0 = 50, S0 = 55, S0 = 60, S0 = 70, S0 = 80, S0 = 90, S0 = 100.

The first part I can do fine. My issue is with calculating delta at each point. Will this require creating another 12 binomial trees and delta trees?