18.11 Calculation of gamma Gamma is calculated from the nodes at time 2st 064-3.77 3.77-1036 △ 024:△,= 064 6299-50 50-3969 Gamma= 003 1165 Options, Futures, and Other Derivatives, 5th edition C 2002 by John C Hull18.11 Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull Calculation of Gamma Gamma is calculated from the nodes at time 2dt     1 2 2 0 64 377 62 99 50 0 24 377 10 36 50 39 69 0 64 1165 0 03 = − − = − = − − = − − = . . . . ; . . . . . Gamma = . 1