Question: Given a American put option, you should use binomial tree to calculate its Greeks. Let S(0) =100 ---> Stock price, K= 110 --> Strike price,

Given a American put option, you should use binomial tree to calculate its Greeks.

Let S(0) =100 ---> Stock price, K= 110 --> Strike price, r= 0.03 --> Risk free-rate, T=1 (year), volatility= 20%. Use a binomial tree with monthly steps to calculate:

a) Delta

b) Gamma

c) Theta

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