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  3. 2. consider the call option above (s = $36, k = $3

2. Consider the call option above (S = $36, K = $35, r = 4%,...

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Finance

2. Consider the call option above (S = $36, K = $35, r = 4%, = 28%, T = 12 months). a. Value this option using a four step binomial tree with t = 0.25. b. Use your binomial tree to calculate the options delta. c. Use your binomial tree to calculate the options gamma. d. Create another binomial tree with the volatility increased by 0.01 and use these two binomial trees to estimate the options vega. e. Use your original binomial tree to calculate the options theta.

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