Question: Improved Binomial Tree The Algorithm 1.4 is to be improved as follows: a) Apply the anchoring of Exercise 1.14. b) Extend the tree by starting

Improved Binomial Tree The Algorithm 1.4 is to be improved as follows:

a) Apply the anchoring of Exercise 1.14.

b) Extend the tree by starting at −2Δt as discussed in Section 1.4.6, and calculate approximations for the Greeks delta and gamma by using difference quotients. Use Example 1.5 to compare these approximations with those from the analytic values from Appendix A4. Implement this in a computer program.

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