bull spread

A bank decides to create a $1000 five-year principal-protected note on a non-dividend-paying stock by offering investors a zero-coupon bond plus a bull spread created from calls. The risk-free rate is 4% and the stock price volatility is 25%. The low strike price option in the bull spread is at the money. What ratio of K2/K1 is needed for the bank to break even, where K1 is the lower strike price in the bull spread and K2 is the higher strike price. Use DerivaGem to value the bull spread. A bank decides to create a $1000 five-year principal-protected note on a non-dividend-paying stock by offering investors a zero-coupon bond plus a bull spread created from calls. The risk-free rate is 4% and the stock price volatility is 25%. The low strike price option in the bull spread is at the money. What ratio of K2/K1 is needed for the bank to break even, where K1 is the lower strike price in the bull spread and K2 is the higher strike price. Use DerivaGem to value the bull spread