Question: Q1. Consider Call A, with K = $70; r = 0.06; T - t = 90 days; = 0.4; and S on the same

Q1. Consider Call A, with K = $70; r = 0.06; T

Q1. Consider Call A, with K = $70; r = 0.06; T - t = 90 days; = 0.4; and S on the same = $60 and Put A, stock, with: K = $70; r = 0.06; T - t = 90 days; = 0.4. You short a straddle comprised of 100 Calls A and 100 Puts A. 1.1 Compute the initial cash flow of the straddle. 1.2 Calculate the DELTA, GAMMA, THETA, VEGA, and RHO of this straddle.

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