Question: Let S = $38, s = 22%, r = 5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes gamma ( G) of a $35-strike

Let S = $38, s = 22%, r = 5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes gamma ( G) of a $35-strike European call option with 3 months until expiration.

a. 0.0656

b. 0.0323

c. 0.1914

d. 0.0716

e. 0.7999

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