Question: Let S = 100, KL = 90, KH = 100, r = 0.05, d = 0, = 0.4, T = 0.05. Given a bull spread

Let S = 100, KL = 90, KH = 100, r = 0.05, d = 0, = 0.4, T = 0.05. Given a bull spread (long KL, short KH, what is for the portfolio? If we neglect the passage of time, how far does the stock price have to drop for the delta hedged portfolio to show 0 profit?

use a black scholes calculator in excel or mathlab. s is spot price. K is strike, r is interest rate, d is dividend, is volatility and T is time 18/360=0.05

info is all there...

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