Question: Let S = $29, s = 35%, r = 7.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $35-strike European

Let S = $29, s = 35%, r = 7.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $35-strike European put option with 3 months until expiration.

ANSWER:

0.0526

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