Question
A bull spread where you buy a 40-strike call and sell a 45-strike call. In addition, = 0.30, r = 0.08, = 0, and T
A bull spread where you buy a 40-strike call and sell a 45-strike call. In addition, = 0.30, r = 0.08, = 0, and T = 0.5.
Calculate the following:
a. Delta, gamma, vega, theta, and rho if S= $40.
b. Delta, gamma, vega, theta, and rho if S= $45.
c. Are any of your answers to (a) and (b) different? If so, state the reason.
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Dark Finance
Authors: Fabio Mattioli
1st Edition
1503611655, 978-1503611658
