Consider a bull spread where you buy a 40-strike call and sell a 45-strike call. Suppose σ = 0.30, r = 0.08, δ = 0, and T = 0.5. a. Suppose S = $40. What are delta, gamma, vega, theta, and rho? b....

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Consider a bull spread where you buy a 40-strike call and sell a 45-strike call. Suppose σ = 0.30, r = 0.08, δ = 0, and T = 0.5.

a. Suppose S = $40. What are delta, gamma, vega, theta, and rho?

b. Suppose S = $45. What are delta, gamma, vega, theta, and rho?

c. Are any of your answers to (a) and (b) different? If so, why?

Answered Same Day Dec 25, 2021

Solution

Robert answered on Dec 25 2021

131 Votes

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