Question: Let S = $33, s = 24%, r = 7.5%, and d = 2% (continuously compounded). Compute the Black-Scholes gamma (G) of a $30-strike European

Let S = $33, s = 24%, r = 7.5%, and d = 2% (continuously compounded). Compute the Black-Scholes gamma (G) of a $30-strike European put option with 3 months until expiration.

Answers:

a. 0.1655

b. 0.0344

c. 0.0699

Correctd. 0.0627

e. 0.2095

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