Unable to Create Calendar View in Salesforce Lightning

To create a Shared Calendar that Lightning Users can view

1. Navigate to Setup.
2. Enter Public Calendars and Resources into the Quick Find box.
3. Click Public Calendars and Resources.
4. Click New to create a new Public Calendar.
5. Enter a name for your new Calendar. Select the Active check box. Click Save.
6. Click Sharing.
7. Click Add.
8. Select the Groups, Roles or Users who should have access to the shared Calendar.
9. Make sure 'Show Details' or higher access is selected in the 'Calendar Access' drop-down menu.
10. Click Save.
     

Note: Please contact your system administrator if the gear icon is not available. They will be the one to submit a Case to request to enable this feature.