Calculate the portfolio delta of a bull call spread buying 100 calls with K = 40...
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Calculate the portfolio delta of a bull call spread buying 100 calls with K = 40 and selling 100 calls with K = 60: (S = 50, T = 1, = 0.3, r = 0.05) How can we become delta neutral on this strategy? Calculate the portfolio delta of a bull call spread buying 100 calls with K = 40 and selling 100 calls with K = 60: (S = 50, T = 1, = 0.3, r = 0.05) How can we become delta neutral on this strategy?
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