Consider a bull spread where you buy a 40-strike put and sell a 45- strike put. Suppose = 0.30,r = 0.08, = 0, and T = 0.5. Use the excel spreadsheets when you compute gamma and vega. Use the normal table when you compute delta. A) Suppose S = 40. What are delta, gamma, and vega?

B) Suppose S = 45. What are delta, gamma, and vega?

C) Consider a bull spread when you buy a 40-strike call and a 45- strike call. Repeat (a) and (b). You can refer the answer key of Exercise 11.14 of the text book. Compare the results with the result of (a) and (b) above. Which greeks are identical? Why are they identical?