26. Derive the Black-Scholes PDE using a hedging argument (limit of the binomial tree or risk-neutral expectation). 27. What is the Delta ($\Delta$) of an ATM call option? 28. If volatility increases, what happens to the price of a Put option? 29. Explain Gamma ($\Gamma$) and why it is highest ATM and near expiration. 30. Explain the "Greeks" in plain English to a non-technical client.
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