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You computed the delta for a 50-60 bull spread with the following information: continuously compounded r = 5%; small delta = 0; volatility sigma =

You computed the delta for a 50-60 bull spread with the following information: continuously compounded r =

5%; small delta = 0; volatility sigma = 20%; T = 0.25; S(0) = 50: How much does the delta change after 1 month, if the stock price

does not change?

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