Question
Suppose we are given the following information of a stock: S = 100, r = 5%, = 30%, and the stock doesnt pay any dividend.
Suppose we are given the following information of a stock: S = 100, r = 5%, = 30%, and the stock doesnt pay any dividend. Calculate the delta of a credit spread using two put options (strike price = $90 and $80) that matures in 0.5 year, based on BSM model. A. 0.135 B. -0.135 C. 0.337 D. -0.337
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Financial Management for Public Health and Not for Profit Organizations
Authors: Steven A. Finkler, Thad Calabrese
4th edition
133060411, 132805669, 9780133060416, 978-0132805667
