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The current spot price of a stock is $100, the expected rate of return of the stock is 8%, and the monthly volatility of the
The current spot price of a stock is $100, the expected rate of return of the stock is 8%, and the monthly volatility of the stock is 5%. The risk-free rate is 3%. Compute the real-world probability that a 6-month 95-105 bull spread made of European calls will have a positive profit.
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