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Consider a bull spread where you buy a 40-strike put and sell a 45-strike put. Suppose S(0)= Rs 40; sigma = 30%; r = 8%;
Consider a bull spread where you buy a 40-strike put and sell a 45-strike put. Suppose S(0)= Rs 40; sigma = 30%; r =
8%; small delta = 0; T = 6 months. What are delta and gamma?
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Entrepreneurial Finance
Authors: Chris LeachJ LeachRonald Melicher
3rd Edition
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