Question
Consider a bull spread on a non-dividend paying stock where you buy a 40-strike, 6-month call and sell a 45-strike 6-month call. Suppose the volatility
Consider a bull spread on a non-dividend paying stock where you buy a 40-strike, 6-month call and sell a 45-strike 6-month call. Suppose the volatility of the prepaid forward price of the stock is 0.3, the continuously compounded risk-free interest rate is 0.08. If the current stock price is S=$45, what is the rho of the spread?
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Sound Investing, Chapter 21 - Cash From Operations Cons
Authors: Kate Mooney
1st Edition
0071719431, 9780071719438
