Answer Happy

Question 3 1 pts What is the gamma of a European call option with the following parameters? As a reminder, gamma is defined as the first derivative of delta with respect to the stock price, or alternatively as the second derivative of the option price with respect to the stock price. S0 = $40 k = $34 r = 10% sigma = 20% T = 0.75 years In order to avoid precision issues with Excel, please use an epsilon of 0.0001. (required precision 0.0001 +/-0.0002) Greeks Reference Guide: Delta = ən/ƏS Theta = ən/at . • Gamma = (2²π)/(ƏS²) . • Vega = Ər/do . • Rho = Ən/ar