Maurice Tutor

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  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 30 Dec 2017 My Price 3.00

bull spread

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?

 

Answers

Maurice Tutor
(5)
Status NEW Posted 30 Dec 2017 10:12 PM My Price 3.00

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