The continuously compounded risk-free rate

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Reference no: EM131014787

You compute the current delta for a 50 - 60 bull spread with the following information:

(i) The continuously compounded risk-free rate is 5%.

(ii) The underlying stock pays no dividends.

(iii) The current stock price is $50 per share.

(iv) The stock’s volatility is 20%.

(v) The time to expiration is 3 months.

How much does delta change after 1 month, if the stock price does not change?

Reference no: EM131014787

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