Assuming the same numerical values as in the example of Section 14.3 , including the expiration date

Assuming the same numerical values as in the example of
Section 14.3 , including the expiration date and strike price, determine the
European put option price and hedging strategy.

Perform an exercise similar to, c and d, but using now a
European put option

By Girsanov's theorem, we can, as in Section 14.4,
conclude that the discounted price of the option at time is a martingale for
the risk neutral probability , and so its value at time is equal to the
conditional expectation, for , of the discounted price at time , conditional on
the value of . Using this fact, design a binomial model approximation for the
European put option. For and for the European put option on the same stock with
the same expiration date years and the same strike price €95, the binomial tree
for the stock price is obviously the same as in the top part of shows the
binomial tree for the European put option price; see if you can obtain these
values (apart some slight differences due to rounding off in intermediate
computations). Of course, since is too small, the approximation obtained for is
not very good, namely is €8.958, while the exact value obtained using ( 14.37 )
is €8.407.

Determine expressions for the Greeks , , , and of a
European put option and compute them for the particular example we have
considered.