You compute the current delta for a 50-60 bull spread with the following information: (i) The continuously

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You compute the current delta for a 50-60 bull spread with the following information:

(i) The continuously compounded risk-free rate is 5%.

(ii) The underlying stock pays no dividends.

(iii) The current stock price is $50 per share.

(iv) The stock’s volatility is 20%.

(v) The time to expiration is 3 months.

How much does delta change after 1 month, if the stock price does not change?

(A) Increases by 0.04

(B) Increases by 0.02

(D) Decreases by 0.02

(E) Decreases by 0.04

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:18 AM

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You compute the current delta for a 50-60 bull spread with the following information: (i) The continuously

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B Assume without loss of generality that the bull spread is a call bul...View the full answer

Derivative Pricing

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