Consider a bull spread where you buy a 40-strike call and sell a 45-strike call. Suppose
Question:
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?
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a The Greeks of the bull spread are simply the sum of the Greeks of the individual options The Greek...View the full answer
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