Consider a bull spread

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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 ?S0?? = $40. What are delta, gamma, vega, theta, and rho?
(b) Suppose ?S0?? = $45. What are delta, gamma, vega, theta, and rho?

Reference no: EM132524270

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