Question: Let S = $35, s = 20%, r = 6.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $40-strike European

Let S = $35, s = 20%, r = 6.5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $40-strike European put option with 6 months until expiration.

	a.	0.0573
	b.	0.0895
	c.	0.0637
	d.	0.0500
	e.	0.7477

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